The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
Danping Li (School of Science, Tianjin University, Tianjin, China), Ximin Rong (School of Science, Tianjin University, Tianjin, China and Center of Applied Mathematics, Tianjin University, Tianjin,China) and Hui Zhao (School of Science, Tianjin University, Tianjin, China)
| Year of publication: |
April 2016
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|---|---|
| Authors: | Li, Danping ; Rong, Ximin ; Zhao, Hui |
| Published in: |
IMA journal of management mathematics. - Oxford : Oxford Univ. Press, ISSN 1471-678X, ZDB-ID 2074812-7. - Vol. 27.2016, 2, p. 255-280
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| Subject: | optimal investment for a general insurance company | weighted sum of wealth | constant elasticity of variance (CEV) model | proportional reinsurance | exponential utility maximization | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Versicherung | Insurance | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Elastizität | Elasticity | Risikomodell | Risk model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1093/imaman/dpu021 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011567155