Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility (Q5140643)
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scientific article; zbMATH DE number 7286464
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| English | Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility |
scientific article; zbMATH DE number 7286464 |
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Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility (English)
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16 December 2020
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excess-of-loss reinsurance
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proportional reinsurance
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investment
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Nash equilibrium
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time-consistent strategy
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smooth ambiguity
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0.8919005393981934
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0.8517030477523804
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0.8399204015731812
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0.8195654153823853
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