scientific article; zbMATH DE number 6129667

zbMATH Open1265.91091MaRDI QIDQ4901151FDOQ4901151

Authors: Chanjuan Li, Yan Zeng, Zhongfei Li 

Publication date: 24 January 2013

Title of this publication is not available (Why is that?)

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zbMATH Keywords

portfolioutility maximizationreinsuranceasset-liability management

Mathematics Subject Classification ID

Portfolio theory (91G10)

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• Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
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• Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function
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