Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
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Publication:2014428
DOI10.1007/S11424-016-5204-3zbMATH Open1369.91086OpenAlexW2560553738MaRDI QIDQ2014428FDOQ2014428
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
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regime-switchingproportional reinsuranceexcess-of-loss reinsuranceoptimal investment strategystate-dependent utility function
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Cited In (6)
- Asset-liability management with state-dependent utility in the regime-switching market
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Homotopy analysis method for portfolio optimization problem under the 3/2 model
- Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function
- Title not available (Why is that?)
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