Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
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Publication:519261
DOI10.1007/s10255-016-0629-yzbMath1414.91172OpenAlexW2523900260MaRDI QIDQ519261
Jing Cao, Xing-Chun Peng, Hu, Yijun
Publication date: 4 April 2017
Published in: Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10255-016-0629-y
Related Items (6)
A general linear quadratic stochastic control and information value ⋮ Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ A non-zero-sum stochastic differential game between two mean-variance insurers with inside information ⋮ Insider trading with a random deadline under partial observations: maximal principle method
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