Mean-variance portfolio selection for a non-life insurance company

DOI10.1007/s00186-007-0152-2zbMath1148.60040OpenAlexW2058335987MaRDI QIDQ2472194

Łukasz Delong, Russell Gerrard

Publication date: 20 February 2008

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-007-0152-2

zbMATH Keywords

Hamilton-Jacobi-Bellman equationefficient frontierFeynman-Kac representationcompound Cox claim processLevy diffusion financial market

Mathematics Subject Classification ID

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