Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
Danping Li; Ximin Rong; Hui Zhao
| Year of publication: |
2015
|
|---|---|
| Authors: | Li, Danping ; Rong, Ximin ; Zhao, Hui |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 64.2015, p. 28-44
|
| Subject: | Reinsurance and investment | Mean-variance criterion | Time-consistent strategy | Stochastic interest rate | Stochastic inflation index | Stochastic control | Stochastischer Prozess | Stochastic process | Theorie | Theory | Inflation | Rückversicherung | Reinsurance | Versicherungsmathematik | Actuarial mathematics | Zins | Interest rate | Portfolio-Management | Portfolio selection | Zeitkonsistenz | Time consistency | Risikomodell | Risk model | Zinsstruktur | Yield curve |
| 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://www.econbiz.de/10011396861