Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

DOI10.1016/j.insmatheco.2015.03.009zbMath1318.91123OpenAlexW2030371238MaRDI QIDQ2347064

Publication date: 26 May 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.03.009

zbMATH Keywords

backward stochastic differential equation efficient frontier mean-variance criterion efficient strategy investment-reinsurance

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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Cites Work