Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion (Q2405932)
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scientific article; zbMATH DE number 6782075
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| English | Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion |
scientific article; zbMATH DE number 6782075 |
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Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion (English)
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28 September 2017
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mean-variance
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martingale approach
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quadratic utility
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Lévy process
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0.93222576379776
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0.8741767406463623
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0.8537221550941467
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0.8490133881568909
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