Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
type: Item
instance of: scholarly article
title: Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
zbMATH Open document ID: 1499.91095
author: Shan Liu
author: Hui Zhao
author: Ximin Rong
published in: Journal of Industrial and Management Optimization
publication date: 2022-02-16T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 7475164
zbMATH Keywords: smooth ambiguity utility
zbMATH Keywords: Heston's SV model
zbMATH Keywords: defaultable bond
zbMATH Keywords: time-consistent strategy
zbMATH Keywords: reinsurance and investment
MaRDI profile type: Publication
full work available at URL: jimo.2021015
OpenAlex ID: W3115436112
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DOI: 10.3934/JIMO.2021015
description: scientific article; zbMATH DE number 7475164