Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
Year of publication: |
September 2016
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Authors: | Bi, Junna ; Liang, Zhibin ; Xu, Fangjun |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 70.2016, p. 245-258
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Subject: | Mean-variance problem | Common shock dependence | Investment-reinsurance | Hamilton-Jacobi-Bellman equation | No-bankruptcy constraint | Theorie | Theory | Schock | Shock | Portfolio-Management | Portfolio selection | Rückversicherung | Reinsurance |
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