Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security

DOI10.1016/j.jmaa.2016.01.035zbMath1331.91105OpenAlexW3125224616MaRDI QIDQ5964415

Publication date: 29 February 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.01.035

zbMATH Keywords

defaultable bond insurer investment and reinsurance mean-variance criterion time-consistent strategy

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

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