Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer
Author:
Publisher
Springer Science and Business Media LLC
Subject
Applied Mathematics,Management Science and Operations Research,Control and Optimization
Link
http://link.springer.com/content/pdf/10.1007/s10957-012-0138-y.pdf
Reference21 articles.
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4. Browne, S.: Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin. Math. Oper. Res. 20(4), 937–958 (1995)
5. Hipp, C., Plum, M.: Optimal investment for insurers. Insur. Math. Econ. 27(2), 215–228 (2000)
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