Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market (Q5039390)
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scientific article; zbMATH DE number 7600441
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market |
scientific article; zbMATH DE number 7600441 |
Statements
Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market (English)
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12 October 2022
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proportional reinsurance
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stochastic interest rate
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common shock dependence
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mean-variance framework
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stochastic optimal control
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