Optimal investment for an insurer: the martingale approach

DOI10.1016/j.insmatheco.2006.05.003zbMath1141.91470OpenAlexW2071292843MaRDI QIDQ995514

Lihong Zhang, Jian-ming Xia, ZengWu Wang

Publication date: 3 September 2007

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.05.003

zbMATH Keywords

martingale approachinsurermean-variance efficient portfolioforward-backward stochastic differential equation (FBSDE)

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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