Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
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Publication:1735027
DOI10.1016/j.insmatheco.2018.11.007zbMath1419.91349OpenAlexW2905016558WikidataQ128760187 ScholiaQ128760187MaRDI QIDQ1735027
Publication date: 28 March 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.11.007
stochastic controlmean-variance criterionoptimization techniquesextended HJB system of equationsequilibrium investment-reinsurance strategyVaR constraint
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Optimal stochastic control (93E20)
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