Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach
Year of publication: |
2014
|
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Authors: | Shen, Yang ; Zeng, Yan |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 57.2014, p. 1-12
|
Subject: | Investment-reinsurance | Mean-variance | Delay | Stochastic maximum principle | Mathematische Optimierung | Mathematical programming | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Kontrolltheorie | Control theory |
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