Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
Łukasz Delong
| Year of publication: |
2019
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|---|---|
| Authors: | Delong, Łukasz |
| Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 89.2019, 1, p. 73-113
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| Subject: | Time-inconsistency | Equilibrium strategy | First-order approximation | BSDEs | PDEs | Perturbation theory | Theorie | Theory | Risikoaversion | Risk aversion | Portfolio-Management | Portfolio selection | Versicherung | Insurance | Risikomodell | Risk model | Nutzenfunktion | Utility function | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00186-019-00659-9 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011991725