Time-consistent proportional reinsurance and investment strategies under ambiguous environment
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Publication:1622519
DOI10.1016/j.insmatheco.2018.09.007zbMath1417.91269OpenAlexW2894567178WikidataQ129151057 ScholiaQ129151057MaRDI QIDQ1622519
Zongxia Liang, Guohui Guan, Jian Feng
Publication date: 19 November 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.09.007
proportional reinsurancetime-consistent strategyoptimal investmentequilibrium control lawsmooth ambiguity control
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Related Items (7)
Robust equilibrium strategies in a defined benefit pension plan game ⋮ Time-consistent lifetime portfolio selection under smooth ambiguity ⋮ A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment ⋮ Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility ⋮ Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment ⋮ Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition ⋮ Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
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