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Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
Lv, Chen; Shen, Yang - In: Insurance / Mathematics & economics 88 (2019), pp. 120-137
Persistent link: https://www.econbiz.de/10012105527
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Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
Li, Danping; Rong, Ximin; Zhao, Hui - In: Insurance / Mathematics & economics 64 (2015), pp. 28-44
Persistent link: https://www.econbiz.de/10011396861
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Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model
Chen, Shumin; Zeng, Yan; Hao, Zhifeng - In: Insurance / Mathematics & economics 74 (2017), pp. 31-45
Persistent link: https://www.econbiz.de/10011712350
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Time-consistent mean-variance asset-liability management with random coefficients
Wei, Jiaqin; Wang, Tianxiao - In: Insurance / Mathematics & economics 77 (2017), pp. 84-96
Persistent link: https://www.econbiz.de/10011783919
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Fair valuation of insurance liabilities : merging actuarial judgement and market-consistency
Dhaene, Jan; Stassen, Ben; Barigou, Karim; Linders, Daniël - In: Insurance / Mathematics & economics 76 (2017), pp. 14-27
Persistent link: https://www.econbiz.de/10011774764
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Time-consistent mean-variance portfolio optimization : a numerical impulse control approach
Staden, Pieter M. van; Dang, Duy Minh; Forsyth, Peter A. - In: Insurance / Mathematics & economics 83 (2018), pp. 9-28
Persistent link: https://www.econbiz.de/10011944090
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Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Guan, Guohui; Liang, Zongxia; Feng, Jian - In: Insurance / Mathematics & economics 83 (2018), pp. 122-133
Persistent link: https://www.econbiz.de/10011944107
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Conditional expectiles, time consistency and mixture convexity properties
Bellini, Fabio; Bignozzi, Valeria; Puccetti, Giovanni - In: Insurance / Mathematics & economics 82 (2018), pp. 117-123
Persistent link: https://www.econbiz.de/10011929844
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Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
Zhou, Zhongbao; Xiao, Helu; Yin, Jialing; Zeng, Ximei; … - In: Insurance / Mathematics & economics 68 (2016), pp. 187-202
Persistent link: https://www.econbiz.de/10011492670
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Time-consistent actuarial valuations
Pelsser, Antoon André Jean; Salahnejhad Ghalehjooghi, Ahmad - In: Insurance / Mathematics & economics 66 (2016), pp. 97-112
Persistent link: https://www.econbiz.de/10011442716