Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model
DOI10.1080/03610926.2016.1212071zbMATH Open1390.91193OpenAlexW2519638969MaRDI QIDQ4597989FDOQ4597989
Authors: Danping Li, Hui Zhao, Ximin Rong 
Publication date: 15 December 2017
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2016.1212071
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equilibrium strategymean-variance criterionstochastic volatility modelexcess-of-loss reinsurancesquare-root model
Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)
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