Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process
DOI10.1007/s11009-021-09902-5zbMath1490.91177OpenAlexW3206388452MaRDI QIDQ2152261
Yingxu Tian, Zhongyang Sun, Jun-Yi Guo
Publication date: 7 July 2022
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11009-021-09902-5
backward stochastic differential equationefficient frontiercommon shockmean-reverting processesoptimal investment-reinsurance strategy
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Portfolio theory (91G10) Actuarial mathematics (91G05)
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