Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (Q4575370)
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scientific article; zbMATH DE number 6903559
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| English | Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model |
scientific article; zbMATH DE number 6903559 |
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Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (English)
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13 July 2018
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mean-variance
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time-consistency
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investment
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proportional reinsurance
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CEV model
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dynamic programming
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Hamilton-Jacobi-Bellman equation
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0.92333984375
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0.8859984874725342
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0.8842646479606628
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0.88087397813797
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0.8802423477172852
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