Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Decision Sciences
Link
http://link.springer.com/content/pdf/10.1007/s10479-013-1338-z.pdf
Reference19 articles.
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3. Bielecki, T. R., Jin, H., Pliska, S. R., & Zhou, X. Y. (2005). Continuous-time mean-variance portfolio selection with bankruptcy prohibition. Mathematical Finance, 15, 213–244.
4. Browne, S. (1995). Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin. Mathematics of Operations Research, 20, 937–957.
5. Delong, L., & Gerrard, R. (2007). Mean-variance portfolio selection for a non-life insurance company. Mathematical Methods of Operations Research, 66, 339–367.
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