A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers

DOI10.1016/j.insmatheco.2016.03.009zbMath1369.91074OpenAlexW2318567134MaRDI QIDQ320304

Ishak Alia, Ayesha Sohail, Farid Chighoub

Publication date: 6 October 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.009

zbMATH Keywords

time inconsistencyforward-backward stochastic differential equationinsurermean-variance criterionequilibrium strategyinvestment-reinsurance strategy

Mathematics Subject Classification ID

Related Items (12)

Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate ⋮ Time-consistent mean-variance portfolio optimization: a numerical impulse control approach ⋮ Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach ⋮ Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem ⋮ Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems ⋮ Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies ⋮ Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model ⋮ Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers ⋮ Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution ⋮ Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization? ⋮ On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies ⋮ Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I

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