Optimality of excess-loss reinsurance under a mean-variance criterion
Year of publication: |
July 2017
|
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Authors: | Li, Danping ; Li, Dongchen ; Young, Virginia R. |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 75.2017, p. 82-89
|
Subject: | Mean-variance criterion | Equilibrium reinsurance-investment strategy | Excess-loss reinsurance | Proportional reinsurance | Lévy insurance model | Theorie | Theory | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection |
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