Optimal mean-variance reinsurance with delay and multiple\\ classes of dependent risks
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Publication:5063852
DOI10.1360/SCM-2016-0388zbMath1499.91101MaRDI QIDQ5063852
Zhibin Liang, Caibin Zhang, Xiao-Xiao Yang
Publication date: 21 March 2022
Published in: SCIENTIA SINICA Mathematica (Search for Journal in Brave)
proportional reinsurancemean-variance utilityextended Hamilton-Jacobi-Bellman equationcommon shock dependencetime-inconsistence strategy
Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Actuarial mathematics (91G05)
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