scientific article; zbMATH DE number 7351025

zbMATH Open1466.91246MaRDI QIDQ4989554FDOQ4989554

Authors: Ishak Alia, Farid Chighoub 

Publication date: 25 May 2021

Title of this publication is not available (Why is that?)

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zbMATH Keywords

forward-backward stochastic differential equationequilibrium strategytime inconsistencymean-variance criterioninsurerinvestment-reinsurance strategy

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)

Cited In (5)

• Optimal investment and reinsurance strategies with state-dependent risk aversion
• A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
• Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
• Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function
• Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints

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