Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
Year of publication: |
2020
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Authors: | Yan, Tingjin ; Wong, Hoi Ying |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 90.2020, p. 105-119
|
Subject: | Mean-variance | Open-loop stochastic control | Reinsurance-investment | State-dependent risk aversion | Stochastic volatility model | Time-inconsistency | Theorie | Theory | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion |
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