Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
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Publication:5277964
DOI10.1080/02331934.2017.1296837zbMath1369.91102OpenAlexW2591555406MaRDI QIDQ5277964
Publication date: 12 July 2017
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2017.1296837
Related Items
Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market, Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process, Unnamed Item, Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework, Optimal investment and risk control policies for an insurer in an incomplete market, Robust time-consistent portfolio selection for an investor under CEV model with inflation influence, Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets, A Stackelberg reinsurance–investment game with asymmetric information and delay
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