Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
Caibin Zhang, Zhibin Liang and Kam Chuen Yuen
| Year of publication: |
2019
|
|---|---|
| Authors: | Zhang, Caibin ; Liang, Zhibin ; Yuen, Kam Chuen |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 6.2019, 1, p. 1-45
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| Subject: | Common shock | compound poisson process | mean-variance utility | Hamilton-Jacobi-Bellman equation | proportional reinsurance | Rückversicherung | Reinsurance | Theorie | Theory | Schock | Shock | Risikomodell | Risk model | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S242478631950004X [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012028852