Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
Guohui Guan, Bin Li
| Year of publication: |
2022
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|---|---|
| Authors: | Guan, Guohui ; Li, Bin |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 143.2022, p. 1-20
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| Subject: | Constant absolute ambiguity aversion | Equilibrium strategy | Mean-variance criterion | Optimal investment and reinsurance | Second-order distribution | Smooth ambiguity | Time inconsistency | Theorie | Theory | Rückversicherung | Reinsurance | Entscheidung unter Unsicherheit | Decision under uncertainty | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2022.104515 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013539527