Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
Year of publication: |
2013
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Authors: | Li, Yongwu ; Li, Zhongfei |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 1, p. 86-97
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Subject: | Theorie | Theory | Rückversicherung | Reinsurance | Risikoaversion | Risk aversion | Portfolio-Management | Portfolio selection | Zeitkonsistenz | Time consistency |
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