Optimal investment and reinsurance strategies for an insurer with regime-switching
Author:
Funder
the postgraduate innovative ability training program of Guangzhou University
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s11579-024-00374-y.pdf
Reference46 articles.
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2. Bai, L., Zhang, H.: Dynamic mean-variance problem with constrained risk control for the insurers. Math. Methods Oper. Res. 68(1), 181–205 (2008)
3. Bi, J., Liang, Z., Xu, F.: Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence. Insur. Math. Econ. 70, 245–258 (2016)
4. Bi, J., Liang, Z., Yuen, K.C.: Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. Math. Methods Oper. Res. 90, 109–135 (2019)
5. Bo, L., Tang, D., Wang, Y.: Optimal investment of variance-swaps in jump-diffusion market with regime-switching. J. Econ. Dyn. Control 83, 175–197 (2017)
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