摘要 : In this paper, we study an optimal management problem for a general insurance company which holds shares of an insurance company and a reinsurance company. The general company aims to derive the equilibrium reinsurance-investment ... 展开
作者 | Fan Wu Xin Zhang Zhibin Liang |
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作者单位 | |
期刊名称 | 《Mathematical control and related fields》 |
总页数 | 29 |
语种/中图分类号 | 英语 / O1 |
关键词 | Reinsurance-investment problem generalized dynamic contagion claims self-exciting effect externally-exciting effect mean-variance criterion |
馆藏号 | N2015112000156838 |