Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion

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

zbMATH Keywords

Hamilton-Jacobi-Bellman equation proportional reinsurance mean-variance time-consistency equilibrium strategy

Mathematics Subject Classification ID

Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).

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