Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
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Publication:5880052
DOI10.1080/24754269.2020.1719356OpenAlexW3003467252MaRDI QIDQ5880052
Jiaqin Wei, Rong-Ming Wang, Li-Ming Zhang
Publication date: 7 March 2023
Published in: Statistical Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/24754269.2020.1719356
Related Items (3)
Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints ⋮ Constrained mean-variance portfolio optimization for jump-diffusion process under partial information ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets
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