Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
Author:
Affiliation:
1. School of Finance, Nanjing University of Finance and Economics, Jiangsu, P.R. China
2. School of Mathematical Sciences, Nanjing Normal University, Jiangsu, P.R. China
Funder
National Natural Science Foundation of China
the MOE Project of Humanities and Social Sciences
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/07362994.2020.1791722
Reference33 articles.
1. Optimal Proportional Reinsurance Policies in a Dynamic Setting
2. Optimal reinsurance under VaR and CTE risk measures
3. Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process
4. Optimal insurance risk control with multiple reinsurers
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