Optimal mean-variance investment and reinsurance with a correlation under Heston’s SV model-Reference-Cited by-同舟云学术

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Optimal mean-variance investment and reinsurance with a correlation under Heston’s SV model

Published:2024-05-25 Issue: Volume: Page:5096-5101
ISSN:
Container-title:2024 36th Chinese Control and Decision Conference (CCDC)
language:
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Author:

Yi Haoran¹,Shan Yuanchuang²,Shu Huisheng³

Affiliation:

1. Donghua University,College of Information Science and Technology,Shanghai,P. R. China,201620

2. School of Biomedical Engineering, Songshan Lake Science and Technology Park,Dongguan,P. R. China,523808

3. Donghua University,College of Science,Shanghai,P. R. China,201620

Funder

National Natural Science Foundation of China

Publisher

IEEE

Link

http://xplorestaging.ieee.org/ielx8/10587298/10587321/10587634.pdf?arnumber=10587634

Reference16 articles.

1. Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing

2. Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle

3. Robust investment strategies with two risky assets

4. Optimal portfolio and reinsurance with two differential risky assets

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