Bai, Lihua; Zhang, Huayue - In: Mathematical Methods of Operations Research 68 (2008) 1, pp. 181-205
In this paper, we study optimal reinsurance/new business and investment (no-shorting) strategy for the mean-variance problem in two risk models: a classical risk model and a diffusion model. The problem is firstly reduced to a stochastic linear-quadratic (LQ) control problem with constraints....
