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Statistical Theory and Related Fields Volume 4, 2020 - Issue 2
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Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model

Liming ZhangKey Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, Shanghai, Peoples Republic of ChinaView further author information
,
Rongming WangKey Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, Shanghai, Peoples Republic of ChinaView further author information
&
Jiaqin WeiKey Laboratory of Advanced Theory and Application in Statistics and Data Science-MOE, School of Statistics, East China Normal University, Shanghai, Peoples Republic of ChinaCorrespondence[email protected]
View further author information
Pages 214-227 | Received 03 Jun 2019, Accepted 25 Nov 2019, Published online: 30 Jan 2020

Citations (3)

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Read on this site (1)

Caibin Zhang & Zhibin Liang. (2023) Constrained mean-variance portfolio optimization for jump-diffusion process under partial information. Stochastic Models 39:4, pages 741-771.
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Articles from other publishers (2)

Lin Xie, Danping Li, Linyi Qian, Lv Chen & Zhixin Yang. (2022) Optimal investment strategy for an insurer with partial information in capital and insurance markets. Journal of Industrial and Management Optimization 0:0, pages 0.
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Liming Zhang, Rongming Wang & Jiaqin Wei. (2022) Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints. Journal of Industrial and Management Optimization 18:6, pages 3897.
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