Chen, Ping; Yam, S.C.P. - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 871-883
Following the framework of Promislow and Young (2005), this paper considers an optimal investment–reinsurance problem of an insurer facing a claim process modeled by a Brownian motion with drift under the Markowitz mean–variance criterion. The market modes are divided into a finite number of...