Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option (Q4959771)
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scientific article; zbMATH DE number 7187554
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| English | Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option |
scientific article; zbMATH DE number 7187554 |
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Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option (English)
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7 April 2020
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asset-liability management
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mean-variance criterion
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affine diffusion
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backward stochastic differential equation
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efficient strategy and efficient frontier
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0.8417930006980896
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0.8268309831619263
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0.8174169063568115
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