| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5076766 | Insurance: Mathematics and Economics | 2012 | 13 Pages |
Abstract
⺠The optimal time-consistent investment and reinsurance strategies are studied. ⺠A general problem is formulated and the verification theorem is provided. ⺠Closed-form expressions of the optimal strategies and the value functions are derived. ⺠Economic implications and sensitivity analysis are presented for our results.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Zhongfei Li, Yan Zeng, Yongzeng Lai,