Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
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Publication:2274152
DOI10.1007/s00186-018-00657-3zbMath1429.62459MaRDI QIDQ2274152
Zhibin Liang, Kam-Chuen Yuen, Jun-na Bi
Publication date: 19 September 2019
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-018-00657-3
stochastic control; efficient frontier; mean-variance criterion; regime-switching; common shock; optimal investment-reinsurance strategy
62P05: Applications of statistics to actuarial sciences and financial mathematics
93E20: Optimal stochastic control
91G10: Portfolio theory
91G05: Actuarial mathematics
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