Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model (Q5880052): Difference between revisions
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Latest revision as of 01:02, 20 March 2024
scientific article; zbMATH DE number 7660243
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model |
scientific article; zbMATH DE number 7660243 |
Statements
Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model (English)
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7 March 2023
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Markov chain
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mean-variance problem
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non-negative constraints
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BSDE
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regime-switching
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