Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

网站地图 | English | 公务邮箱

About the library

Background
History
Leadership
Organization

Opening Hours
Collections
Help Via Email

Electronic Information Resources

Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

详细信息查看全文

作者：Xin Zhang^a ; ^{x.zhang.seu@foxmail.com" class="auth_mail" title="E-mail the corresponding author} ; Hui Meng^b ; ^{menghuidragon@126.com" class="auth_mail" title="E-mail the corresponding author} ; Yan Zeng^c ; ^{zengy36@mail.sysu.edu.cn" class="auth_mail" title="E-mail the corresponding author}
关键词：C61 ; G11 ; G22
刊名：Insurance: Mathematics and Economics
出版年：2016
出版时间：March 2016
年：2016
卷：67
期：Complete
页码：125-132
全文大小：399 K

文摘

•: A generalized mean–variance premium principle is first considered.
•: Maximizing utility and minimizing ruin probability problems are solved.
•: The form of optimal reinsurance under the generalized premium principle is derived.
•: Closed-form expressions of optimal strategies and value functions are obtained.
•: Our model and results are more general and some special cases are provided.

NGLC 2004-2010.National Geological Library of China All Rights Reserved.
Add:29 Xueyuan Rd,Haidian District,Beijing,PRC. Mail Add: 8324 mailbox 100083
For exchange or info please contact us via email.