OPTIMAL REINSURANCE AND INVESTMENT WITH A COMMON SHOCK AND A RANDOM EXIT TIME
Under the mean-variance framework, we study the continuous-time optimal reinsurance and investment problem with a common shock and a random exit time. To describe the influence of the common shock, we propose a new interdependence mechanism between the insurance market and the financial market. It c...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
EDP Sciences
2023
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| Subjects: | |
| Online Access: | View Fulltext in Publisher View in Scopus |