Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles

DOI10.1051/ro/2021183zbMath1484.91374OpenAlexW4200306384MaRDI QIDQ5034781

Danping Li, Nan Zhang, Jun-na Bi

Publication date: 21 February 2022

Published in: RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ro/2021183

zbMATH Keywords

mean-variance criterionequilibrium strategycommon shockpremium principlesoptimal reinsurance-investment

Mathematics Subject Classification ID

Dynamic programming (90C39) Actuarial mathematics (91G05)

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