Time-consistent investment and reinsurance strategies for insurers under multi-period mean-variance formulation with generalized correlated returns
The existing literature on investment and reinsurance is limited to the study of continuous-time problems, while discrete-time problems are always ignored by researchers. In this study, we first discuss a multi-period investment and reinsurance optimization problem under the classical mean-variance...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
KeAi Communications Co., Ltd.
2019-06-01
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| Series: | Journal of Management Science and Engineering |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S2096232019300721 |