Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
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Publication:2292185
DOI10.1016/j.insmatheco.2019.11.003zbMath1431.91347OpenAlexW2991919355WikidataQ126642926 ScholiaQ126642926MaRDI QIDQ2292185
Publication date: 3 February 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.11.003
mean-variancestochastic volatility modeltime-inconsistencystate-dependent risk aversionopen-loop stochastic controlreinsurance-investment
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