Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
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Publication:2014428
DOI10.1007/s11424-016-5204-3zbMath1369.91086OpenAlexW2560553738MaRDI QIDQ2014428
Publication date: 25 August 2017
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-016-5204-3
excess-of-loss reinsuranceproportional reinsuranceregime-switchingoptimal investment strategystate-dependent utility function
Related Items (3)
Homotopy analysis method for portfolio optimization problem under the 3/2 model ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ Asset-liability management with state-dependent utility in the regime-switching market
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