Optimality of excess-loss reinsurance under a mean-variance criterion
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Publication:2364009
DOI10.1016/j.insmatheco.2017.05.001zbMath1394.91222arXiv1703.01984OpenAlexW2594978493MaRDI QIDQ2364009
Dongchen Li, Virginia R. Young, Danping Li
Publication date: 17 July 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1703.01984
proportional reinsurancemean-variance criterionexcess-loss reinsuranceLévy insurance modelequilibrium reinsurance-investment strategy
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