Optimal reinsurance and investment strategies for an insurer under monotone mean-variance criterion

DOI10.1051/ro/2021114zbMath1471.91468OpenAlexW3188143585MaRDI QIDQ5158321

Bohan Li, Jun-Yi Guo

Publication date: 21 October 2021

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

Full work available at URL: https://doi.org/10.1051/ro/2021114

zbMATH Keywords

monotoneoptimal reinsurancecapital asset pricing modelefficient frontierHamilton-Jacobi-Bellman-Isaacs equationmonotone mean-variance preference

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

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