Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model
Huainian Zhu, Ming Cao, Chengke Zhang
| Year of publication: |
2019
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|---|---|
| Authors: | Zhu, Huainian ; Cao, Ming ; Zhang, Chengke |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 30.2019, p. 280-291
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| Subject: | Heston model | Investment and reinsurance | Mean-variance | Nash equilibrium | Relative performance | Time-consistency | Theorie | Theory | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Versicherung | Insurance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2018.10.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012420819