A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
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Publication:2332719
DOI10.1016/j.cam.2019.112413zbMath1427.91243OpenAlexW2969340526WikidataQ127354778 ScholiaQ127354778MaRDI QIDQ2332719
Zhongyang Sun, Jun-Yi Guo, Kam-Chuen Yuen
Publication date: 5 November 2019
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2019.112413
stochastic volatilitybackward stochastic differential equationefficient frontiermean-variance criteriondependent risks
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Actuarial mathematics (91G05)
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