Optimal mean-variance investment/reinsurance with common shock in a regime-switching market

Bi, JN; Liang, ZB; Yuen, KC

Liang, ZB (reprint author), Nanjing Normal Univ, Sch Math Sci, Nanjing 210023, Jiangsu, Peoples R China.

MATHEMATICAL METHODS OF OPERATIONS RESEARCH, 2019; 90 (1): 109

Abstract

In this paper, we consider the problem of optimal investment-reinsurance with two dependent classes of insurance risks in a regime-switching financial......

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