Mean-variance investment and risk control strategies : a time-consistent approach via a forward auxiliary process
Yang Shen, Bin Zou
| Year of publication: |
2021
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|---|---|
| Authors: | Shen, Yang ; Zou, Bin |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 97.2021, p. 68-80
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| Subject: | Optimal reinsurance | Jump-diffusion | Hamilton-Jacobi-Bellman equation | Time-consistent control | Precommitment | Zeitkonsistenz | Time consistency | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Kontrolltheorie | Control theory | Dynamische Optimierung | Dynamic programming |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2021.01.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012491963