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

DOI10.3969/J.ISSN.1001-4268.2019.05.006MaRDI QIDQ3307482zbMATH OpenFDO

Authors Chan Huang, Wei Wang, Limin Wen

Publication date 12 August 2020

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2019.05.006

zbMATH Keywords

exchange rate riskoptimal investmentreinsurancevariance premium principle

Mathematics Subject Classification ID

Actuarial mathematics (91G05)

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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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