scientific article; zbMATH DE number 6401490

DOI10.6040/J.ISSN.1671-9352.0.2013.387MaRDI QIDQ5497515zbMATH OpenFDO

Authors Xiangbo Meng, Ziping Du, Lidong Zhang

Publication date 11 February 2015

Full work available at URL https://doi.org/10.6040/J.ISSN.1671-9352.0.2013.387

zbMATH Keywords

extended Hamilton-Jacobi-Bellman equationinvestment and reinsurancemean-variance criterionmultiple risky assetstime-consistent strategy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cited in

(8)

• Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
• Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
• Investment strategy for insurers under mean-variance criterion without terminal constraint
• A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
• Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
• Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
• Time-consistent investment-proportional reinsurance strategy under a jump-diffusion model

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