Time-consistent proportional reinsurance and investment strategies under ambiguous environment
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Publication:1622519
DOI10.1016/j.insmatheco.2018.09.007zbMath1417.91269MaRDI 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 reinsurance; time-consistent strategy; optimal investment; equilibrium control law; smooth ambiguity control
91G10: Portfolio theory
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