Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
Junna Bi, Jun Cai
| Year of publication: |
2019
|
|---|---|
| Authors: | Bi, Junna ; Cai, Jun |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 85.2019, p. 1-14
|
| Subject: | optimization techniques | VaR constraint | Equilibrium investment-reinsurance strategy | Stochastic control | Extended HJB system of equations | Mean-variance criterion | Theorie | Theory | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Risikoaversion | Risk aversion | Mathematische Optimierung | Mathematical programming | VAR-Modell | VAR model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990589