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Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
Stochastic Analysis and Applications ( IF 0.8 ) Pub Date : 2020-07-23 , DOI: 10.1080/07362994.2020.1791722
Caibin Zhang 1 , Zhibin Liang 2
Affiliation  

This paper considers an optimal time-consistent proportional reinsurance problem with constraints on the strategies under the mean-variance criterion for an insurer. It is assumed that the surplus ...

中文翻译:

稀疏依赖结构下均值方差保险公司的最优时间一致性再保险策略

本文考虑了一个最优时间一致比例再保险问题,该问题对保险公司在均值方差准则下的策略有约束。假设剩余...
更新日期:2020-07-23
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