Benchmark and mean-variance problems for insurers
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DOI: 10.1007/s00186-005-0446-1
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Cited by:
- Nicole Bäuerle & Ulrich Rieder, 2013. "Optimal Deterministic Investment Strategies for Insurers," Risks, MDPI, vol. 1(3), pages 1-18, November.
- Xiaomin Shi & Zuo Quan Xu, 2024. "Constrained mean-variance investment-reinsurance under the Cram\'er-Lundberg model with random coefficients," Papers 2406.10465, arXiv.org.
- Dang, D.M. & Forsyth, P.A., 2016. "Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach," European Journal of Operational Research, Elsevier, vol. 250(3), pages 827-841.
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Keywords
stochastic LQ problem; Lagrange theory; HJB equation;All these keywords.
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