Optimal Investment and Proportional Reinsurance under Exponential Forward Preferences

doi:doi:10.57702/tfiat688

Optimal Investment and Proportional Reinsurance under Exponential Forward Preferences

The dataset is used to study the optimal investment and proportional reinsurance problem of an insurance company, whose investment preferences are described via a forward dynamic utility of exponential type in a stochastic factor model.

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The json representation of the dataset with its distributions based on DCAT.
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Katia Colaneri, Alessandra Cretarola, Benedetta Salterini (2024). Dataset: Optimal Investment and Proportional Reinsurance under Exponential Forward Preferences. https://doi.org/10.57702/tfiat688

DOI retrieved: December 17, 2024

Additional Info

Field	Value
Created	December 17, 2024
Last update	December 17, 2024
Defined In	https://doi.org/10.48550/arXiv.2210.10425
Author	Katia Colaneri
More Authors	Alessandra Cretarola Benedetta Salterini