Optimal investment for an insurer: the martingale approach
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Publication:995514
DOI10.1016/j.insmatheco.2006.05.003zbMath1141.91470OpenAlexW2071292843MaRDI QIDQ995514
Lihong Zhang, Jian-ming Xia, ZengWu Wang
Publication date: 3 September 2007
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2006.05.003
martingale approachinsurermean-variance efficient portfolioforward-backward stochastic differential equation (FBSDE)
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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