Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

DOI10.1080/03461238.2022.2108335zbMath1521.91322OpenAlexW4294142620MaRDI QIDQ6156011

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Publication date: 9 June 2023

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2022.2108335

zbMATH Keywords

Lie symmetriesmean-variance optimizationreinsuranceparametrix methodparabolic partial differential equation4/2 stochastic volatility model

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Actuarial mathematics (91G05)

Related Items (1)

Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks

Cites Work

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