Optimal portfolio choice for an insurer with loss aversion

DOI10.1016/j.insmatheco.2014.07.004zbMath1304.91194MaRDI QIDQ2513637

Wen-jing Guo

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.07.004

zbMATH Keywords

insurance companyloss aversionportfolio choicebehavioral financemartingale method

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

91G10: Portfolio theory

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