Time-consistent reinsurance and investment strategy selection under mean-variance criterion

DOI10.16163/J.CNKI.22-1123/N.2017.04.006MaRDI QIDQ3175344zbMATHFDO

Authors Peng Yang, Qi Liu

Publication date 18 July 2018

zbMATH Keywords

investmentstochastic controlmean-variance criterionreinsurancetime-consistentclaims dependent

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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Cited in

(14)

• Optimal time-consistent investment and reinsurance strategies for mean-variance insurer under the dependent risk model
• scientific article; zbMATH DE number 7338528 (Why is no real title available?)
• Time-consistent optimal reinsurance-investment strategy selection for Poisson-Geometric model
• Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
• scientific article; zbMATH DE number 6874017 (Why is no real title available?)
• A pair of optimal reinsurance-investment strategies in the two-sided exit framework
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
• Optimal reinsurance strategy based on competition under two kinds of dependent insurance business
• Alpha-robust mean-variance reinsurance-investment strategy
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers
• Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
• Optimal reinsurance and investment under \(n\) dependent insurance businesses
• scientific article; zbMATH DE number 7156564 (Why is no real title available?)
• Time-consistent investment and reinsurance under relative performance concerns

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