Optimal investment for an insurer: The martingale approach

Insurance: Mathematics and Economics

Volumn 40, Issue 2, 2007, Pages 322-334

  Wang, Zengwu ^a   Xia, Jianming ^b   Zhang, Lihong ^c  

^a UNIVERSITY OF CHINESE ACADEMY OF SCIENCES   (China)

^b CHINESE ACADEMY OF SCIENCES   (China)

^c Tsinghua University   (China)

Author keywords

Forward backward stochastic differential equation (FBSDE); Insurer; Martingale approach; Mean variance efficient portfolio

Indexed keywords

EID: 33845793576     PISSN: 01676687     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.insmatheco.2006.05.003     Document Type: Article

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