Alpha-robust mean-variance reinsurance-investment strategy
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Publication:1656367
DOI10.1016/j.jedc.2016.07.001zbMath1401.91521OpenAlexW2467700965MaRDI QIDQ1656367
Dewen Xiong, Danping Li, Bin Li
Publication date: 10 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2016.07.001
mean-variance criteriontime-consistent equilibrium strategy\(\alpha\)-maxmin utilityLévy insurance modelrobust reinsurance-investment problem
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