Optimal investment and reinsurance for an insurer under Markov-modulated financial market
Lin Xu, Liming Zhang, Dingjun Yao
| Year of publication: |
May 2017
|
|---|---|
| Authors: | Xu, Lin ; Zhang, Liming ; Yao, Dingjun |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 74.2017, p. 7-19
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| Subject: | Optimal investment | Reinsurance | Markov modulated risk model | HJB equation | Ruin probability | Rückversicherung | Risikomodell | Risk model | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Markov chain | Wahrscheinlichkeitsrechnung | Probability theory | Versicherungsmathematik | Actuarial mathematics | Risikomanagement | Risk management | Versicherung | Insurance | Risiko | Risk | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2017.02.005 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011712331