Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process☆

By Yang Shen, Yan Zeng. 2015

120 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/db2ebd67a0f9c1fe872247304f6d5876fa3af72a

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Lv Chen
2. Yang Shen

In Finance

1. Lv Chen
2. Yang Shen

In Management Science and Operations Research

1. Lv Chen
2. Yang Shen

Citations in the corpus

• ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018, background): “Further investigations to optimal investment and reinsurance problems can be found in Zhang and Siu (2009), Zeng and Li (2011), Lin et al. (2012), Chen and Yam (2013), Shen and Zeng (2014, 2015) and Zhao et al. (2016), just to name a few.”