The Markov-modulated mean-variance problem for an insurer

DOI10.1016/S0252-9602(11)60297-XzbMATH Open1240.91069MaRDI QIDQ655877FDOQ655877

Authors: Wei Wang, Junna Bi 

Publication date: 27 January 2012

Published in: Acta Mathematica Scientia. Series B. (English Edition) (Search for Journal in Brave)

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zbMATH Keywords

Markov chainmean-varianceLagrange multiplierefficient frontierefficient strategy

Mathematics Subject Classification ID

Diffusion processes (60J60) Martingales with continuous parameter (60G44)

Cited In (8)

• Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
• Mean-variance portfolio selection in Markov-switching jump-diffusion market for risk model
• Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
• Title not available (Why is that?)
• Pricing catastrophe options with counterparty credit risk in a reduced form model
• A Markov Risk Model with Two Classes of Insurance Business
• Study on the model of an insurer's solvency ratio in Markov-modulated Brownian markets
• Insurance claims modulated by a hidden Brownian marked point process

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