Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

DOI10.1016/j.insmatheco.2015.05.003zbMath1348.91161OpenAlexW2218274622MaRDI QIDQ495442

Danping Li, Hui Zhao, Xi-Min Rong

Publication date: 14 September 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.05.003

zbMATH Keywords

stochastic controlstochastic interest ratemean-variance criteriontime-consistent strategyreinsurance and investmentstochastic inflation index

Mathematics Subject Classification ID

Related Items (22)

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