Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model

DOI10.3934/JIMO.2013.9.411zbMath1281.90091OpenAlexW2319605253MaRDI QIDQ380466

Wei Wang, Lin-Yi Qian, Rong-Ming Wang

Publication date: 14 November 2013

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2013.9.411

zbMATH Keywords

regime switchingLévy processunit-linked life insurancelocally risk-minimizing strategy

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of mathematical programming (90C90) Diffusion processes (60J60)

This page was built for publication: Risk-minimizing portfolio selection for insurance payment processes under a Markov-modulated model