Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility

This paper studies the time-consistent optimal investment and reinsurance problem for mean-variance insurers when considering both stochastic interest rate and stochastic volatility in the financial market. The insurers are allowed to transfer insurance risk by proportional reinsurance or acquiring...

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Detalhes bibliográficos

Principais autores:	Jiaqi Zhu, Shenghong Li
Formato:	Artigo
Idioma:	Inglês
Publicado em:	MDPI AG 2020-12-01
coleção:	Mathematics
Assuntos:	investment and reinsurance mean-variance criterion vasicek model heston stochastic volatility time-consistent strategy
Acesso em linha:	https://www.mdpi.com/2227-7390/8/12/2183
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