Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
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Publication:2449384
DOI10.1007/s10479-013-1338-zzbMath1291.91092OpenAlexW2055761759MaRDI QIDQ2449384
Yongji Zhang, Jun-na Bi, Qing-bin Meng
Publication date: 8 May 2014
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-013-1338-z
optimal reinsuranceefficient frontiermean-variance criterionoptimal investmentefficient strategyno-bankruptcy constraint
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