Time-consistent investment and reinsurance strategies for insurers under multi-period mean-variance formulation with generalized correlated returns

Author:

Zhou Zhongbao,Ren Tiantian,Xiao Helu,Liu Wenbin

Funder

National Natural Science Foundation of China

Hunan Provincial Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Management of Technology and Innovation,Strategy and Management,Engineering (miscellaneous),Business and International Management,Control and Systems Engineering,Management Information Systems,General Decision Sciences

Reference36 articles.

1. Optimal investment and reinsurance policies in insurance markets under the effect of inside information;Baltas;Applied Stochastic Models in Business and Industry,2012

2. Dynamic mean-variance asset allocation;Basak;Review of Financial Studies,2010

3. Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer;Bi;Journal of Optimization Theory and Applications,2013

4. Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer;Bi;Annals of Operations Research,2014

5. A general theory of Markovian time inconsistent stochastic control problems;Bjork,2010

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