scientific article; zbMATH DE number 6874017

DOI10.13471/J.CNKI.ACTA.SNUS.2017.04.006MaRDI QIDQ4642932zbMATH OpenFDO

Authors Peng Yang, Hairong Zhang

Publication date 25 May 2018

Full work available at URL https://doi.org/10.13471/J.CNKI.ACTA.SNUS.2017.04.006

zbMATH Keywords

claims dependentinflationmean-variance criterionreinsurance-investmenttime-consistent

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Other game-theoretic models (91A40)

Recommendations

• Time-consistent reinsurance and investment strategy selection under mean-variance criterion
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• Optimal investment strategies for an insurer under mean-variance in a dependent risk model
• Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
• Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
• Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
• Time consistent strategies for mean-variance asset-liability management problems
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

Cited in

(3)

• Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
• Time-consistent optimal investment strategy with inflation and liability common influence
• Robust time-consistent portfolio selection for an investor under CEV model with inflation influence

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