Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
Guohui Guan; Zongxia Liang
| Year of publication: |
2014
|
|---|---|
| Authors: | Guan, Guohui ; Liang, Zongxia |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 55.2014, p. 105-115
|
| Subject: | Optimal proportional reinsurance strategy | Optimal investment strategy | CRRA utility | Stochastic dynamic programming | Stochastic inflation index | Stochastic interest rate | Rückversicherung | Reinsurance | Theorie | Theory | Inflation | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Dynamic programming | Zins | Interest rate | Versicherung | Insurance | Versicherungsmathematik | Actuarial mathematics | Risikomodell | Risk model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10010366200