Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time
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 equ...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2017-10-01
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| Series: | Quantitative Finance and Economics |
| Subjects: | |
| Online Access: | http://www.aimspress.com/QFE/article/1648/fulltext.html |