Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model

DOI10.1080/03461238.2015.1048710zbMath1401.91168OpenAlexW890239360MaRDI QIDQ4575370

Xiang Lin, Yiping Qian

Publication date: 13 July 2018

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2015.1048710

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdynamic programminginvestmentproportional reinsurancemean-variancetime-consistencyCEV model

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Analysis of variance and covariance (ANOVA) (62J10)

Related Items (25)

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