Optimal excess-of-loss reinsurance and investment problem for insurers with loss aversion
Year of publication: |
2019
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Authors: | Sun, Qingya ; Rong, Ximin ; Zhao, Hui |
Published in: |
Theoretical economics letters. - Irvine, Calif. : Scientific Research, ISSN 2162-2078, ZDB-ID 2657454-8. - Vol. 9.2019, 4, p. 1129-1151
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Subject: | Loss aversion | Excess-of-Loss Reinsurance | Martingale Approach | Investment | S-Shaped Utility | Theorie | Theory | Rückversicherung | Reinsurance | Risikoaversion | Risk aversion | Martingal | Martingale |
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