研究论文
Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model
Huainian Zhu, Ming Cao, Chengke Zhang
Guangdong University of Technology Guangdong University of Finance
来源Finance research letters
年份2018
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社会科学Insurance, Mortality, Demography, Risk Management
Stochastic processes and financial applications · Insurance and Financial Risk Management
参考文献 56
A General Theory of Markovian Time Inconsistent Stochastic Control Problems
被引 355Tomas Björk, Agatha Murgoci · SSRN Electronic Journal · 2010
OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
被引 163Gilles‐Edouard Espinosa, Nizar Touzi · Mathematical Finance · 2013
Aspects of Risk Theory
被引 647Jan Grandell · Springer series in statistics · 1991
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引用本文 33
Time-consistent equilibrium reinsurance–investment strategy for n competitive insurers under a new interaction mechanism and a general investment framework
被引 36Peng Yang, Zhiping Chen, Ying Xu · Journal of Computational and Applied Mathematics · 2020
Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
被引 24Huainian Zhu, Ming Cao, Zhu Ying · Optimization · 2020
Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
被引 17Guohui Guan, Xiang Hu · North American Actuarial Journal · 2022
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