Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
Yu Yuan, Xia Han, Zhibin Liang, Kam Chuen Yuen
| Year of publication: |
2023
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|---|---|
| Authors: | Yuan, Yu ; Han, Xia ; Liang, Zhibin ; Yuen, Kam Chuen |
| Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 311.2023, 2 (1.12.), p. 581-595
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| Subject: | Stochastic processes | Thinning-dependence | Delay factors | Extended Hamilton-Jacobi-Bellman (HJB) delay system | Time-consistent strategy | Theorie | Theory | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.ejor.2023.05.023 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014336732