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标题:Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
时间:2020-08-01 17:42:04
DOI:10.1080/03461238.2015.1048710
大小:380 kb
页数:29 PAGES
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目录:
  • Abstract
  • 1. Introduction
  • 2. Model and assumptions
  • 3. Problem formulation
  • 4. Time-consistent mean-variance problem in a classical risk process
    • 4.1. Verification theorem
    • 4.2. Solution to the problem
  • 5. Time-consistent mean-variance problem in a diffusion approximation risk process
    • 5.1. Verification theorem
    • 5.2. Solution to the problem
  • 6. Sensitivity analysis
    • 6.1. The optimal proportional reinsurance strategy
    • 6.2. The optimal investment strategy
  • 7. Conclusions
  • Disclosure statement
  • Funding
  • References

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