Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

DOI10.1016/j.insmatheco.2013.02.007zbMath1284.91282OpenAlexW2073434764MaRDI QIDQ2443229

Yongzeng Lai, Yan Zeng, Zhong-Fei Li

Publication date: 4 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.02.007

zbMATH Keywords

insurer investment and reinsurance mean-variance criterion time-consistent strategy geometric Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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