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Exponential utility maximization for an insurer with time-inconsistent preferences

Published:2016-09 Issue: Volume:70 Page:89-104
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Zhao Qian,Wang Rongming,Wei Jiaqin

Funder

National Natural Science Foundation of China

Ministry of Education of China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference32 articles.

1. Malliavin calculus and optimal control of stochastic volterra equations;Agram;J. Optim. Theory Appl.,2015

2. Picoeconomics;Ainslie,1992

3. Björk, T., Murgoci, A., 2010. A general theory of Markovian time inconsistent stochastic control problems. Working Paper, Stockholm School of Economics.

4. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin;Browne;Math. Oper. Res.,1995

5. Optimal consumption and investment in incomplete markets with general constraints;Cheridito;Stoch. Dyn.,2011

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