Constrained investment-reinsurance optimization with regime switching under variance premium principle
Lv Chen, Linyi Qian, Yang Shen, Wei Wang
| Year of publication: |
November 2016
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|---|---|
| Authors: | Lv, Chen ; Qian, Linyi ; Shen, Yang ; Wang, Wei |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 71.2016, p. 253-267
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| Subject: | Investment | Reinsurance | Regime switching | Variance premium principle | Hamilton-Jacobi-Bellman equation | Theorie | Theory | Portfolio-Management | Portfolio selection | Rückversicherung |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.09.009 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011630835