Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

DOI10.1016/j.cam.2015.01.038zbMath1308.91088OpenAlexW2018013364MaRDI QIDQ2018495

Danping Li, Xi-Min Rong, Hui Zhao

Publication date: 24 March 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.01.038

zbMATH Keywords

mean-variance criteriontime-consistent strategyreinsurance and investmentconstant elasticity of variance (CEV) modelinsurer and reinsurer

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (35)

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