The Optimal Investment and Reinsurance Problem with Mispricing and VaR Constrains Based on Behavior of Loss Aversion

HUANG Qing, MA Shixia, LI Guozhu

Journal of Systems Science and Mathematical Sciences ›› 2020, Vol. 40 ›› Issue (10) : 1790-1804.

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Journal of Systems Science and Mathematical Sciences ›› 2020, Vol. 40 ›› Issue (10) : 1790-1804. DOI: 10.12341/jssms13981

The Optimal Investment and Reinsurance Problem with Mispricing and VaR Constrains Based on Behavior of Loss Aversion

  • HUANG Qing, MA Shixia, LI Guozhu
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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2020, 40(10): 1790-1804 https://doi.org/10.12341/jssms13981

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