Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers (Q2015659)
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scientific article; zbMATH DE number 6306932
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| English | Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers |
scientific article; zbMATH DE number 6306932 |
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Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers (English)
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23 June 2014
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proportional reinsurance
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optimal investment-reinsurance
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geometric Brownian motion
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mean-variance
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efficient frontier
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0.8882137537002563
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0.8778473734855652
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0.8701125383377075
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0.8642686605453491
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0.8573945760726929
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