Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market
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Publication:4643689
DOI10.1080/02331934.2018.1434650zbMath1410.91294OpenAlexW2790686947MaRDI QIDQ4643689
Publication date: 28 May 2018
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2018.1434650
Related Items
Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market, Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model, Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
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