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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.

Data and Resources

Cite this as

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
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Alessandra Cretarola
Benedetta Salterini