Alpha-robust mean-variance reinsurance-investment strategy (Q1656367)
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scientific article; zbMATH DE number 6916105
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Alpha-robust mean-variance reinsurance-investment strategy |
scientific article; zbMATH DE number 6916105 |
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Alpha-robust mean-variance reinsurance-investment strategy (English)
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10 August 2018
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\(\alpha\)-maxmin utility
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robust reinsurance-investment problem
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mean-variance criterion
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time-consistent equilibrium strategy
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Lévy insurance model
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0.89018786
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0.8846159
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0.8831476
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0.8754855
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0.87311333
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0.8721731
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0.8709762
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0.87043583
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