Optimal reinsurance and asset allocation under regime switching

Bong-Gyu Jang, Kyeong Tae Kim

Year of publication:	July 2015
Authors:	Jang, Bong-Gyu ; Kim, Kyeong Tae
Published in:	Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 56.2015, p. 37-47
Subject:	Optimal reinsurance \| Optimal portfolio \| Asset allocation \| Insurance claims \| Correlation change \| Regime switching \| Portfolio-Management \| Portfolio selection \| Rückversicherung \| Reinsurance \| Theorie \| Theory \| Markov-Kette \| Markov chain \| Versicherung \| Insurance

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