Optimal investment and reinsurance strategies with state-dependent risk aversion

DOI10.3969/J.ISSN.1001-5337.2021.3.025zbMATH Open1488.91093MaRDI QIDQ5017172FDOQ5017172

Authors: Shuqi Li, Yongxia Zhao 

Publication date: 17 December 2021

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• scientific article; zbMATH DE number 7351025
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zbMATH Keywords

mean-variance criterionexcess-of-loss reinsuranceextended HJB system of equationsstate-dependent risk aversion

Mathematics Subject Classification ID

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

Cited In (7)

• Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
• Asymptotic optimality of a first-order approximate strategy for an exponential utility maximization problem with a small coefficient of wealth-dependent risk aversion
• Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
• 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
• Title not available (Why is that?)
• Optimal consumption, investment, and insurance under state-dependent risk aversion

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