Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient (Q1731595)
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scientific article; zbMATH DE number 7035929
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient |
scientific article; zbMATH DE number 7035929 |
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Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient (English)
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13 March 2019
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time-inconsistency
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equilibrium strategy
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first-order approximation
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BSDEs
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PDEs
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perturbation theory
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