Risk minimization for an insurer with investment and reinsurance via g-expectation

Authors :: Wenyuan Wang
Xingchun Peng
Fenge Chen
Source :: Communications in Statistics - Theory and Methods. 48:5012-5035
Publication Year :: 2019
Publisher :: Informa UK Limited, 2019.
Abstract: This paper is devoted to the study of a risk-based optimal investment and proportional reinsurance problem. The surplus process of the insurer and the risky asset process in the financial m...

Subjects :: Statistics and Probability
Reinsurance
021103 operations research
Actuarial science
G-expectation
Process (engineering)
0211 other engineering and technologies
02 engineering and technology
Malliavin calculus
Investment (macroeconomics)
01 natural sciences
010104 statistics & probability
Asset (economics)
Minification
0101 mathematics
Mathematics

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