Time-consistent reinsurance-investment strategy for mean-variance insurers with defaultable security and jumps

DOI10.15672/HJMS.201613620024zbMath1419.91388MaRDI QIDQ4626795

Qianqian Cui, Ping Chen, Qiang Zhang

Publication date: 6 March 2019

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

zbMATH Keywords

proportional reinsurancedefaultable bondtime-consistent strategymean-variancegeometric Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20)

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