Optimal mean-variance reinsurance in a financial market with stochastic rate of return
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Publication:1983739
DOI10.3934/jimo.2020051zbMath1476.91132OpenAlexW3010117646MaRDI QIDQ1983739
Zhongyang Sun, Yingxu Tian, Jun-Yi Guo
Publication date: 10 September 2021
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2020051
Ornstein-Uhlenbeck processbackward stochastic differential equationefficient frontierinvestment-reinsurance strategyrate of investment return
Related Items (4)
Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process ⋮ Constrained mean-variance portfolio optimization for jump-diffusion process under partial information ⋮ Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model ⋮ Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
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