Optimal time-consistent investment and reinsurance policies for mean-variance insurers
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References listed on IDEAS
- Browne, S., 1995. "Optimal Investment Policies for a Firm with a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin," Papers 95-08, Columbia - Graduate School of Business.
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- Cao, Yusong & Wan, Nianqing, 2009. "Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 157-162, October.
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More about this item
KeywordsTime-consistency Continuous-time investment and reinsurance choice Mean-variance criterion Insurer Hamilton-Jacobi-Bellman equation;
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