Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model

Autor:	Rongming Wang, Liming Zhang, Jiaqin Wei
Rok vydání:	2020
Předmět:	Statistics and Probability Reinsurance Markov chain Investment strategy Applied Mathematics Markov process Regime switching Investment (macroeconomics) symbols.namesake Computational Theory and Mathematics Econometrics symbols Economics Mean variance Statistics Probability and Uncertainty Analysis
Zdroj:	Statistical Theory and Related Fields. 4:214-227
ISSN:	2475-4277 2475-4269
DOI:	10.1080/24754269.2020.1719356
Popis:	This paper is devoted to study the proportional reinsurance/new business and investment problem under the mean-variance criterion in a continuous-time setting. The strategies are constrained in the...
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::bea5d7aae4978771f6718a1b9d9783f9 https://doi.org/10.1080/24754269.2020.1719356 Zobrazit plný text záznamu