Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Hao Wang, Rongming Wang, Jiaqin Wei
| Year of publication: |
2019
|
|---|---|
| Authors: | Wang, Hao ; Wang, Rongming ; Wei, Jiaqin |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 85.2019, p. 104-114
|
| Subject: | Mean-variance | Equilibrium strategy | Time-consistency | Stochastic interest rate | Stochastic volatility | Theorie | Theory | Rückversicherung | Reinsurance | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Zeitkonsistenz | Time consistency | Versicherungsmathematik | Actuarial mathematics | CAPM |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.01.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011990618