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  • 标题:Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time
  • 本地全文:下载
  • 作者:Iriani Setyaningsih ; Tati Nurhayati ; Uzainah Aremhas
  • 期刊名称:Quantitative Finance and Economics
  • 电子版ISSN:2573-0134
  • 出版年度:2017
  • 卷号:1
  • 期号:3
  • 页码:320-333
  • DOI:10.3934/QFE.2017.3.320
  • 语种:English
  • 出版社:AIMS Press
  • 摘要: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.
  • 关键词:continuous-time;mean-variance;reinsurance-investment strategy
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