Mean-variance Optimal Reinsurance-investment Strategy in Continuous Time

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Daheng Peng; Fang Zhang;
(2017)

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 backwa... View more
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