Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model-Reference-Cited by-同舟云学术

Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model

Published:2019-05-30 Issue:23 Volume:49 Page:5738-5764
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Chen Xu¹,Zhuo WenYan²

Affiliation:

1. Key Laboratory of Computing and Stochastic Mathematics, School of Mathematics and Statistics, Hunan Normal University, Changsha, Hunan, P. R. China;

2. School of Marketing and Logistics Management, Nanjing University of Finance and Economics, Nanjing, Jiangsu, P. R. China

Funder

NSF of China

HuNan NSF of China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2019.1620953

Reference23 articles.

1. On the Existence of Minimax Martingale Measures

2. Option Pricing for Time-Change Exponential Lévy Model Under Memm

3. Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers

4. Optimal consumption and portfolio policies when asset prices follow a diffusion process

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