Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
Author:
Affiliation:
1. Center for Applied Statistics, Renmin University of China, Beijing, China
2. School of Statistics, Renmin University of China, Beijing, China
3. School of Finance, Zhongnan University of Economics and Law, Wuhan, China
Funder
National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/10920277.2021.2014891
Reference43 articles.
1. Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
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5. MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
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