Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
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Publication:2015659
DOI10.1016/j.insmatheco.2013.10.004zbMath1290.91079OpenAlexW1989854381MaRDI QIDQ2015659
Sheung Chi Phillip Yam, Ping Chen
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.004
geometric Brownian motionproportional reinsuranceefficient frontiermean-varianceoptimal investment-reinsurance
Classification and discrimination; cluster analysis (statistical aspects) (62H30) Continuous-time Markov processes on discrete state spaces (60J27) Portfolio theory (91G10)
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