Optimal mean-variance reinsurance in a financial market with stochastic rate of return
type: Item
instance of: scholarly article
title: Optimal mean-variance reinsurance in a financial market with stochastic rate of return
zbMATH Open document ID: 1476.91132
author: Yingxu Tian
author: Zhongyang Sun
author: Junyi Guo
published in: Journal of Industrial and Management Optimization
publication date: 2021-09-10T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7394170
zbMATH Keywords: investment-reinsurance strategy
zbMATH Keywords: rate of investment return
zbMATH Keywords: Ornstein-Uhlenbeck process
zbMATH Keywords: backward stochastic differential equation
zbMATH Keywords: efficient frontier
MaRDI profile type: Publication
full work available at URL: jimo.2020051
OpenAlex ID: W3010117646
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DOI: 10.3934/JIMO.2020051
description: scientific article; zbMATH DE number 7394170