Optimal Reinsurance and Investment under Common Shock Dependence Between Financial and Actuarial Markets
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Cited by:
- Katia Colaneri & Alessandra Cretarola & Benedetta Salterini, 2021. "Optimal Investment and Proportional Reinsurance in a Regime-Switching Market Model under Forward Preferences," Mathematics, MDPI, vol. 9(14), pages 1-27, July.
- Katia Colaneri & Alessandra Cretarola & Benedetta Salterini, 2021. "Optimal investment and proportional reinsurance in a regime-switching market model under forward preferences," Papers 2106.13888, arXiv.org.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-IAS-2021-05-24 (Insurance Economics)
- NEP-RMG-2021-05-24 (Risk Management)
- NEP-UPT-2021-05-24 (Utility Models and Prospect Theory)
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