Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility
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Cited by:
- Chunwei Wang & Naidan Deng & Silian Shen, 2022. "Numerical Method for a Perturbed Risk Model with Proportional Investment," Mathematics, MDPI, vol. 11(1), pages 1-27, December.
- Jiaen Xu & Chunwei Wang & Naidan Deng & Shujing Wang, 2023. "Numerical Method for a Risk Model with Two-Sided Jumps and Proportional Investment," Mathematics, MDPI, vol. 11(7), pages 1-22, March.
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Keywords
investment and reinsurance; mean-variance criterion; vasicek model; heston stochastic volatility; time-consistent strategy;All these keywords.
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