Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
| Autor: | Xuyan Xiang, Ya Huang, Yijun Wang, Yingchun Deng, Jieming Zhou |
|---|---|
| Rok vydání: | 2020 |
| Předmět: |
Statistics and Probability
Reinsurance 010104 statistics & probability 021103 operations research Actuarial science 0211 other engineering and technologies Mean variance 02 engineering and technology 0101 mathematics Investment (macroeconomics) 01 natural sciences Selection (genetic algorithm) Mathematics |
| Zdroj: | Communications in Statistics - Theory and Methods. 51:5653-5680 |
| ISSN: | 1532-415X 0361-0926 |
| DOI: | 10.1080/03610926.2020.1844239 |
| Popis: | This article studies the optimal mean-variance reinsurance-investment selection for insurers with mispricing. Assuming that insurers wish to purchase proportional/excess-of-loss reinsurance and exc... |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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