Optimal investment-reinsurance strategy with exchange rate risk under variance premium principle

DOI10.3969/J.ISSN.1001-4268.2019.05.006zbMATH Open1449.91100MaRDI QIDQ3307482FDOQ3307482

Authors: Chan Huang, Wei Wang, Limin Wen 

Publication date: 12 August 2020

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zbMATH Keywords

optimal investmentreinsurancevariance premium principleexchange rate risk

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

Cited In (2)

• Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
• Measuring Foreign Exchange Risk in Insurance Transactions

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