Optimal investment for the insurer in the Lévy market under the mean-variance criterion (Q5401013)
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scientific article; zbMATH DE number 6268957
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| English | Optimal investment for the insurer in the Lévy market under the mean-variance criterion |
scientific article; zbMATH DE number 6268957 |
Statements
12 March 2014
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mean-variance efficient portfolio
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martingale approach
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forward-backward stochastic differential equation (FBSDE)
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insurer
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0.93222576379776
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0.9292290210723876
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0.9112353920936584
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0.8577859401702881
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0.8514218330383301
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