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Authors: Shen, Yang | Zeng, Yan
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/302993
Description: This paper is concerned with an optimal investment and reinsurance problem with delay for an insurer under the mean-variance criterion. A three-stage procedure is employed to solve the insurer's mean- ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/230852
Description: In this article, we provide the first study in the time consistent solution of the mean-variance asset-liability management (MVALM). The framework is even considered under a continuous time Markov reg ... More
Reviewed: Reviewed
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