Optimal time-consistent investment and reinsurance policies for mean-variance insurers
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Publication:2276271
DOI10.1016/j.insmatheco.2011.01.001zbMath1218.91167MaRDI QIDQ2276271
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.001
Hamilton-Jacobi-Bellman equation; insurer; mean-variance criterion; time-consistency; continuous-time investment and reinsurance choice
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