Optimal investment and reinsurance policies for an insurer with ambiguity aversion
Bing Liu, Hui Meng, Ming Zhou
| Year of publication: |
2021
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|---|---|
| Authors: | Liu, Bing ; Meng, Hui ; Zhou, Ming |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 55.2021, p. 1-19
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| Subject: | Ambiguity aversion | Expected utility | HJB equation | Optimal investment | Optimal reinsurance | Variance premium principle | Rückversicherung | Reinsurance | Risikoaversion | Risk aversion | Theorie | Theory | Erwartungsnutzen | Entscheidung unter Unsicherheit | Decision under uncertainty | Portfolio-Management | Portfolio selection | Risikomodell | Risk model | Versicherungsökonomik | Economics of insurance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.najef.2020.101303 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012667528