Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference-Reference-Cited by-同舟云学术

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Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference

Published:2023-05-03 Issue: Volume: Page:1-15
ISSN:0020-7179
Container-title:International Journal of Control
language:en
Short-container-title:International Journal of Control

Author:

Li Bohan¹,Guo Junyi²,Tian Linlin³

Affiliation:

1. Department of Statistics, Chinese University of Hong Kong, Shatin, N.T., Hong Kong SAR

2. School of Mathematical Sciences, Nankai University, Tianjin, People's Republic of China

3. College of Science, Donghua University, Shanghai, People's Republic of China

Funder

National Natural Science Foundation of China

Tianjin Natural Science Foundation

Fundamental Research Funds for the Central Universities

Publisher

Informa UK Limited

Subject

Computer Science Applications,Control and Systems Engineering

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207179.2023.2204384

Reference31 articles.

1. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

2. Benchmark and mean-variance problems for insurers

3. Dynamic mean–variance problem with frictions

4. Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer

Cited by 1 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Constrained monotone mean–variance investment-reinsurance under the Cramér–Lundberg model with random coefficients;Systems & Control Letters;2024-06

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