Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer

DOI10.1007/S10479-013-1338-ZzbMath1291.91092OpenAlexW2055761759MaRDI QIDQ2449384

Yongji Zhang, Jun-na Bi, Qing-bin Meng

Publication date: 8 May 2014

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-013-1338-z

zbMATH Keywords

optimal reinsuranceefficient frontiermean-variance criterionoptimal investmentefficient strategyno-bankruptcy constraint

Mathematics Subject Classification ID

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

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