Optimality of excess-loss reinsurance under a mean-variance criterion
Danping Li, Dongchen Li, Virginia R. Young
| Year of publication: |
July 2017
|
|---|---|
| Authors: | Li, Danping ; Li, Dongchen ; Young, Virginia R. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 75.2017, p. 82-89
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| Subject: | Mean-variance criterion | Equilibrium reinsurance-investment strategy | Excess-loss reinsurance | Proportional reinsurance | Lévy insurance model | Rückversicherung | Reinsurance | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | 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.2017.05.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011740728