Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Yan Zeng, Danping Li, Ailing Gu
| Year of publication: |
2016
|
|---|---|
| Authors: | Zeng, Yan ; Li, Danping ; Gu, Ailing |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 66.2016, p. 138-152
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| Subject: | Robust optimal control | Reinsurance and investment | Jump-diffusion model | Mean-variance criterion | Equilibrium strategy | Rückversicherung | Reinsurance | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | CAPM | Stochastischer Prozess | Stochastic process | Versicherungsökonomik | Economics of insurance | Kontrolltheorie | Control theory | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2015.10.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011442729