Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach
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| Tag | 1 | 2 | Valor |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20140029006 | ||
| 003 | MAP | ||
| 005 | 20140915123225.0 | ||
| 008 | 140814e20140707esp|||p |0|||b|spa d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a6 | ||
| 100 | 1 | $0MAPA20130002439$aShen, Yang | |
| 245 | 1 | 0 | $aOptimal investment-reinsurance with delay for mean-variance insurers$b: a maximum principle approach$cYang Shen, Yan Zeng |
| 520 | $aThis paper is concerned with an optimal investment and reinsurance problem with delay for an insurer under the meanvariance criterion. A three-stage procedure is employed to solve the insurer's meanvariance problem. We first use the maximum principle approach to solve a benchmark problem. Then applying the Lagrangian duality method, we derive the optimal solutions for a variance-minimization problem. Based on these solutions, we finally obtain the efficient strategy and the efficient frontier of the insurer's meanvariance problem. Some numerical examples are also provided to illustrate our results. | ||
| 650 | 4 | $0MAPA20080609375$aAnálisis de inversiones | |
| 650 | 4 | $0MAPA20080552367$aReaseguro | |
| 650 | 4 | $0MAPA20080591632$aIntereses de demora | |
| 650 | 4 | $0MAPA20080586447$aModelo estocástico | |
| 650 | 4 | $0MAPA20080579258$aCálculo actuarial | |
| 650 | 4 | $0MAPA20080602437$aMatemática del seguro | |
| 650 | 4 | $0MAPA20080571566$aCasos prácticos | |
| 700 | 1 | $0MAPA20130010458$aZeng, Yan | |
| 773 | 0 | $wMAP20077100574$tInsurance : mathematics and economics$dOxford : Elsevier, 1990-$x0167-6687$g07/07/2014 Volumen 57 Número 1 - julio 2014 , p. 1-12 |