Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
type: Item
instance of: scholarly article
title: Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
zbMATH Open document ID: 1290.91079
author: Ping Chen
author: Sheung Chi Phillip Yam
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 60J27
Mathematics Subject Classification ID: 62H30
zbMATH DE Number: 6306932
zbMATH Keywords: proportional reinsurance
zbMATH Keywords: optimal investment-reinsurance
zbMATH Keywords: geometric Brownian motion
zbMATH Keywords: mean-variance
zbMATH Keywords: efficient frontier
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2013.10.004
OpenAlex ID: W1989854381
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DOI: 10.1016/J.INSMATHECO.2013.10.004
description: scientific article; zbMATH DE number 6306932