Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence

DOI10.1016/j.insmatheco.2016.06.012zbMath1371.91080OpenAlexW2462425032MaRDI QIDQ2520452

Fangjun Xu, Zhibin Liang, Jun-na Bi

Publication date: 13 December 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.06.012

zbMATH Keywords

Hamilton-Jacobi-Bellman equationmean-variance probleminvestment-reinsurancecommon shock dependenceno-bankruptcy constraint

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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