Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility
Lihua Bian, Yang Shen, Wenjun Zhang and Bin Zou
| Year of publication: |
2025
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|---|---|
| Authors: | Bian, Lihua ; Shen, Yang ; Zhang, WenJun ; Zou, Bin |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 25.2025, 10, p. 1615-1637
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| Subject: | Backward stochastic differential equations | Correlated stochastic interest rate and volatility | Investment and reinsurance | Mean-variance | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Rückversicherung | Reinsurance | Zins | Interest rate | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Versicherungsmathematik | Actuarial mathematics | Investition | Investment |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2025.2566353 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534210