Alpha-robust mean-variance reinsurance-investment strategy
Year of publication: |
September 2016
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Authors: | Li, Bin ; Li, Danping ; Xiong, Dewen |
Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 70.2016, p. 101-123
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Subject: | α-Maxmin utility | Robust reinsurance-investment problem | Mean-variance criterion | Time-consistent equilibrium strategy | Lévy insurance model | Theorie | Theory | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Zeitkonsistenz | Time consistency | Stochastischer Prozess | Stochastic process |
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