Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
| العنوان: | Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure |
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| المؤلفون: | Caibin Zhang, Zhibin Liang |
| المصدر: | Stochastic Analysis and Applications. 39:195-223 |
| بيانات النشر: | Informa UK Limited, 2020. |
| سنة النشر: | 2020 |
| مصطلحات موضوعية: | Statistics and Probability, Reinsurance, Computer Science::Computer Science and Game Theory, Thinning, Applied Mathematics, 010102 general mathematics, Mathematics::Optimization and Control, Structure (category theory), Time optimal, 01 natural sciences, 010104 statistics & probability, Econometrics, Mean variance, 0101 mathematics, Statistics, Probability and Uncertainty, Mathematics |
| الوصف: | This paper considers an optimal time-consistent proportional reinsurance problem with constraints on the strategies under the mean-variance criterion for an insurer. It is assumed that the surplus ... |
| تدمد: | 1532-9356 0736-2994 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_________::08fbfa9f1f4933dfaa76e89519dd5cea https://doi.org/10.1080/07362994.2020.1791722 |
| رقم الأكسشن: | edsair.doi...........08fbfa9f1f4933dfaa76e89519dd5cea |
| قاعدة البيانات: | OpenAIRE |
PDF full text from Publisher | تدمد: | 15329356 07362994 |
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