Exponential utility maximization for an insurer with time-inconsistent preferences
Qian Zhao, Rongming Wang, Jiaqin Wei
| Year of publication: |
September 2016
|
|---|---|
| Authors: | Zhao, Qian ; Wang, Rongming ; Wei, Jiaqin |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 89-104
|
| Subject: | Consumption-investment-reinsurance strategy | Time inconsistence | Equilibrium strategy | Backward stochastic differential equation | Integral equation | Theorie | Theory | Analysis | Mathematical analysis | Zeitkonsistenz | Time consistency | Stochastischer Prozess | Stochastic process | Intertemporale Entscheidung | Intertemporal choice | Hedging | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.06.003 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597189