Constrained monotone mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients

DOI10.1016/j.sysconle.2024.105796zbMath1544.91274MaRDI QIDQ6577514

Zuo Quan Xu, Xiao-Min Shi

Publication date: 24 July 2024

Published in: Systems \& Control Letters (Search for Journal in Brave)

zbMATH Keywords

random coefficientscone constraintsCramér-Lundberg modelBSDE with jumpsmonotone mean-variance

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)

Cites Work

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