A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
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Publication:320304
DOI10.1016/j.insmatheco.2016.03.009zbMath1369.91074MaRDI QIDQ320304
Ishak Alia, Farid Chighoub, Ayesha Sohail
Publication date: 6 October 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.009
time inconsistency; forward-backward stochastic differential equation; insurer; mean-variance criterion; equilibrium strategy; investment-reinsurance strategy
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