mean-variance optimal reinsurance-investment strategy in continuous time
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2017
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Abstract
In this paper, Lagrange method is used to solve the continuous-time mean-variance reinsurance-investment problem. Proportional reinsurance, multiple risky assets and risk-free asset are considered synthetically in the optimal strategy for insurers. By solving the backward stochastic differential equation for the Lagrange multiplier, we get the mean-variance optimal reinsurance-investment strategy and its effective frontier in explicit forms.
| Reference Key |
peng2017quantitativemean-variance
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|---|---|
| Authors | ;Daheng Peng;Fang Zhang |
| Journal | journal of french and francophone philosophy |
| Year | 2017 |
| DOI |
10.3934/QFE.2017.3.320
|
| URL | |
| Keywords | Keywords not found |
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