Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

By Junna Bi, Jun Cai. Insurance, Mathematics & Economics, 2019

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The final publication is available at Elsevier via https://doi.org/10.1016/j.insmatheco.2018.11.007 © 2018. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/b047a04926242f2745c6319c9981eb7d2330347a