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Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market - MaRDI portal

Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market (Q4643689)

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scientific article; zbMATH DE number 6875469
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English
Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market
scientific article; zbMATH DE number 6875469

    Statements

    title
    Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market (English)
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    author
    Qiang Zhang
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    Ping Chen
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    published in
    Optimization
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    publication date
    28 May 2018
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    zbMATH Keywords
    time-consistent strategy
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    mean-variance
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    CEV model
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    defaultable bond
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    proportional reinsurance
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    cites work

    Identifiers

    zbMATH DE Number
    6875469
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    OpenAlex ID
    W2790686947
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