Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
type: Item
instance of: scholarly article
title: Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
zbMATH Open document ID: 1419.91349
author: Jun Cai
author: Junna Bi
published in: Insurance Mathematics \& Economics
publication date: 2019-03-28T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G70
zbMATH DE Number: 7043761
zbMATH Keywords: optimization techniques
zbMATH Keywords: VaR constraint
zbMATH Keywords: equilibrium investment-reinsurance strategy
zbMATH Keywords: stochastic control
zbMATH Keywords: extended HJB system of equations
zbMATH Keywords: mean-variance criterion
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2018.11.007
OpenAlex ID: W2905016558
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Wikidata QID: Q128760187
DOI: 10.1016/J.INSMATHECO.2018.11.007
description: scientific article; zbMATH DE number 7043761