Optimal investment-reinsurance strategy on dynamic mean-variance problem with stochastic volatility

• Main Author: Sun, Jingya
• Other Authors: PUN Chi Seng
• Format: Final Year Project
• Language: English
• Published: Nanyang Technological University 2021
• Subjects: Science::Mathematics::Applied mathematics::Operational research; Business::Finance::Portfolio management
• Online Access: https://hdl.handle.net/10356/146121
• Institution: Nanyang Technological University

In this final year project, we further study the dynamic mean-variance problem with constrained risk control on reinsurance and investment (no-shorting) strategy for insurers with unknown expected terminal wealth. This project will fi rst solve the problem under traditional Black-Scholes model, whe...