Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
Junna Bi, Zhibin Liang, Fangjun Xu
| Year of publication: |
September 2016
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|---|---|
| Authors: | Bi, Junna ; Liang, Zhibin ; Xu, Fangjun |
| Published in: |
Insurance. - 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 | Portfolio-Management | Portfolio selection | Schock | Shock | Rückversicherung | Reinsurance | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.06.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011597285