Optimal time-consistent investment and reinsurance policies for mean-variance insurers-Reference-Cited by-同舟云学术

Optimal time-consistent investment and reinsurance policies for mean-variance insurers

Published:2011-07 Issue:1 Volume:49 Page:145-154
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Zeng Yan,Li Zhongfei

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference21 articles.

1. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint;Bai;Insurance: Mathematics and Economics,2008

2. Dynamic mean-variance problem with constrained risk control for the insurers;Bai;Mathematical Methods of Operations Research,2008

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

4. Benchmark and mean-variance problems for insurers;Bäuerle;Mathematical Methods of Operations Research,2005

5. Bjök, T., Murgoci, A., 2009. A general theory of Markovian time inconsistent stochastic control problems. Working Paper. Stockolm School of Economics. Available at: http://econtent.essec.fr/mediabanks/ESSEC-PDF/Enseignement%20et%20Recherche/Enseignement/Departement/seminaire/Finance/2008-2009/Tomas_Bjork-Seminaire.pdf.

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