典型文献
Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria:Partial and Full Information
文献摘要：
This paper is concerned with an optimal reinsurance and investment problem for an insur-ance firm under the criterion of mean-variance.The driving Brownian motion and the rate in return of the risky asset price dynamic equation cannot be directly observed.And the short-selling of stocks is prohibited.The problem is formulated as a stochastic linear-quadratic control problem where the control variables are constrained.Based on the separation principle and stochastic filtering theory,the partial information problem is solved.Efficient strategies and efficient frontier are presented in closed forms via solutions to two extended stochastic Riccati equations.As a comparison,the efficient strate-gies and efficient frontier are given by the viscosity solution to the HJB equation in the full information case.Some numerical illustrations are also provided.
文献关键词：
中图分类号：
作者姓名：
ZHU Shihao;SHI Jingtao
作者机构：
School of Mathematics,Shandong University,Jinan 250100,China
文献出处：
引用格式：
[1]ZHU Shihao;SHI Jingtao-.Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria:Partial and Full Information)[J].系统科学与复杂性学报（英文版）,2022(04):1458-1479
A类：
Reinsurance,reinsurance,insur
B类：
Optimal,Investment,Strategies,Under,Mean,Variance,Criteria,Partial,Full,Information,This,paper,concerned,optimal,investment,problem,firm,under,criterion,mean,variance,driving,Brownian,motion,return,risky,asset,price,dynamic,cannot,be,directly,observed,And,short,selling,stocks,prohibited,formulated,stochastic,linear,quadratic,control,where,variables,are,constrained,Based,separation,principle,filtering,theory,partial,information,solved,Efficient,strategies,efficient,frontier,presented,closed,forms,via,solutions,two,extended,Riccati,equations,comparison,given,by,viscosity,HJB,full,case,Some,numerical,illustrations,also,provided
AB值：
0.648245
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