Optimal Reinsurance-Investment Problem under Mean-Variance Criterion with n Risky Assets
Based on the mean-variance criterion, this paper investigates the continuous-time reinsurance and investment problem. The insurer’s surplus process is assumed to follow Cramér–Lundberg model. The insurer is allowed to purchase reinsurance for reducing claim risk. The reinsurance pattern that the ins...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
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| Series: | Discrete Dynamics in Nature and Society |
| Online Access: | http://dx.doi.org/10.1155/2020/6489532 |
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