Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Year of publication: |
2016
|
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Authors: | Zeng, Yan ; Li, Danping ; Gu, Ailing |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 66.2016, p. 138-152
|
Subject: | Robust optimal control | Reinsurance and investment | Jump-diffusion model | Mean-variance criterion | Equilibrium strategy | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | CAPM | Stochastischer Prozess | Stochastic process | Versicherungsökonomik | Economics of insurance | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory |
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