Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
Ping Chen; S. C. P. Yam
| Year of publication: |
2013
|
|---|---|
| Authors: | Chen, Ping ; Yam, Sheung Chi Phillip |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 53.2013, 3, p. 871-883
|
| Subject: | Proportional reinsurance | Optimal investment-reinsurance | Geometric Brownian motion | Mean-variance | Efficient frontier | Theorie | Theory | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Stochastischer Prozess | Stochastic process |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010227791