Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility

DOI10.1007/s00186-017-0628-7zbMath1417.91285OpenAlexW2782729276MaRDI QIDQ1616790

Zhongyang Sun, Jun-Yi Guo

Publication date: 7 November 2018

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-017-0628-7

zbMATH Keywords

backward stochastic differential equationefficient frontiermean-variance criterionCIR processefficient strategy

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Portfolio theory (91G10)

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