Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework

European Journal of Operational Research(2023)

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摘要
•A general reinsurance form is considered.•Thinning-dependence and delay factors are included in the modeling framework.•Both the expected value and variance premium principles are considered.•The existence and uniqueness of the solution are proved.•Numerical examples are presented to illustrate the impact of some important parameters.
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关键词
Stochastic processes,Thinning-dependence,Delay factors,Extended Hamilton–Jacobi–Bellman (HJB) delay system,Time-consistent strategy
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