Optimal investment and reinsurance strategies with state-dependent risk aversion

DOI10.3969/J.ISSN.1001-5337.2021.3.025MaRDI QIDQ5017172zbMATH OpenFDO

Authors Shuqi Li, Yongxia Zhao

Publication date 17 December 2021

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-5337.2021.3.025

zbMATH Keywords

excess-of-loss reinsuranceextended HJB system of equationsmean-variance criterionstate-dependent risk aversion

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Portfolio theory (91G10)

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