The Markov-modulated mean-variance problem for an insurer

DOI10.1016/S0252-9602(11)60297-XzbMath1240.91069MaRDI QIDQ655877

Wei Wang, Jun-na Bi

Publication date: 27 January 2012

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

zbMATH Keywords

Lagrange multiplierMarkov chainefficient frontiermean-varianceefficient strategy

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Diffusion processes (60J60)

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