Equilibrium excess-of-loss reinsurance–investment strategy for a mean–variance insurer under stochastic volatility model

DOI10.1080/03610926.2016.1212071zbMath1390.91193OpenAlexW2519638969MaRDI QIDQ4597989

Hui Zhao, Danping Li, Xi-Min Rong

Publication date: 15 December 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2016.1212071

zbMATH Keywords

excess-of-loss reinsurancemean-variance criterionequilibrium strategystochastic volatility modelsquare-root model

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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