Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Guohui Guan, Zongxia Liang, Jian Feng
| Year of publication: |
November 2018
|
|---|---|
| Authors: | Guan, Guohui ; Liang, Zongxia ; Feng, Jian |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 83.2018, p. 122-133
|
| Subject: | Smooth ambiguity control | Proportional reinsurance | Optimal investment | Time-consistent strategy | Equilibrium control law | Rückversicherung | Reinsurance | Theorie | Theory | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Zeitkonsistenz | Time consistency |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.09.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011944107