Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
Year of publication: |
2015
|
---|---|
Authors: | Shen, Yang ; Zeng, Yan |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 62.2015, p. 118-137
|
Subject: | Investment-reinsurance | Mean-variance criterion | Backward stochastic differential equation | Efficient strategy | Efficient frontier | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Analysis | Mathematical analysis |
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