Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
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DOI: 10.1007/s00186-019-00659-9
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- Chong, Wing Fung, 2019. "Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 93-107.
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Keywords
Time-inconsistency; Equilibrium strategy; First-order approximation; BSDEs; PDEs; Perturbation theory;All these keywords.
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