A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
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Cites work
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- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
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- The golden rule when preferences are time inconsistent
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
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Cited in
(13)- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?
- Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
- Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
- Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
- Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach
- Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
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