Optimal portfolio choice for an insurer with loss aversion
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Publication:2513637
DOI10.1016/j.insmatheco.2014.07.004zbMath1304.91194OpenAlexW2075737764MaRDI QIDQ2513637
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.07.004
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Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk ⋮ Optimal reinsurance and investment strategy with two piece utility function ⋮ Optimal reinsurance-investment with loss aversion under rough Heston model ⋮ Optimal investment strategies for an insurer with liquid constraint ⋮ Competitive insurance pricing with complete information, loss-averse utility and finitely many policies ⋮ Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer ⋮ Optimization problem of insurance investment based on spectral risk measure and RAROC criterion ⋮ Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints ⋮ Optimal investment for an insurer under liquid reserves ⋮ Martingale method for optimal investment and proportional reinsurance ⋮ A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
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