Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
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Publication:2445993
DOI10.1016/j.insmatheco.2013.03.008zbMath1284.91249OpenAlexW2050477100MaRDI QIDQ2445993
Publication date: 15 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.008
Hamilton-Jacobi-Bellman equationproportional reinsurancemean-variancetime-consistencyequilibrium strategy
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