Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model

DOI10.1016/j.insmatheco.2011.09.002zbMath1284.91250OpenAlexW1967453651MaRDI QIDQ2444720

Yan Zeng, Yongzeng Lai, Zhong-Fei Li

Publication date: 10 April 2014

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.09.002

zbMATH Keywords

stochastic volatilityinsurermean-variance criteriontime-consistencyinvestment and reinsurance strategy

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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