Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility (Q1616790)
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scientific article; zbMATH DE number 6974500
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility |
scientific article; zbMATH DE number 6974500 |
Statements
Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility (English)
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7 November 2018
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mean-variance criterion
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CIR process
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backward stochastic differential equation
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efficient frontier
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efficient strategy
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