Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence (Q2520452): Difference between revisions

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Property / author: Jun-na Bi / rank
 
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Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.06.012 / rank
 
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Latest revision as of 02:40, 13 July 2024

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Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
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    Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence (English)
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    13 December 2016
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    mean-variance problem
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    common shock dependence
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    investment-reinsurance
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    Hamilton-Jacobi-Bellman equation
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    no-bankruptcy constraint
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