Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model
Year of publication: |
2012
|
---|---|
Authors: | Li, Zhongfei ; Zeng, Yan ; Lai, Yongzeng |
Published in: |
Insurance: Mathematics and Economics. - Elsevier, ISSN 0167-6687. - Vol. 51.2012, 1, p. 191-203
|
Publisher: |
Elsevier |
Subject: | Investment and reinsurance strategy | Stochastic volatility | Time-consistency | Insurer | Mean–variance criterion |
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