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Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market - MaRDI portal

Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market (Q5277964)

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scientific article; zbMATH DE number 6744278
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English
Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
scientific article; zbMATH DE number 6744278

    Statements

    title
    Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market (English)
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    author
    Peng Yang
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    published in
    Optimization
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    publication date
    12 July 2017
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    zbMATH Keywords
    time-consistency
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    proportional reinsurance
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    investment
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    jump-diffusion process
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    common shock
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    cites work

    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91G10
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    60J75
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    zbMATH DE Number
    6744278
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    OpenAlex ID
    W2591555406
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