Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
Year of publication: |
2019
|
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Authors: | Delong, Łukasz |
Published in: |
Mathematical methods of operations research. - Berlin : Springer, ISSN 1432-2994, ZDB-ID 1310695-8. - Vol. 89.2019, 1, p. 73-113
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Subject: | Time-inconsistency | Equilibrium strategy | First-order approximation | BSDEs | PDEs | Perturbation theory | Risikomodell | Risk model | Theorie | Theory | Risikoaversion | Risk aversion |
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