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

• 主要作者: Sun, Jingya
• 其他作者: PUN Chi Seng
• 格式: Final Year Project
• 語言: English
• 出版: Nanyang Technological University 2021
• 主題: Science::Mathematics::Applied mathematics::Operational research; Business::Finance::Portfolio management
• 在線閱讀: https://hdl.handle.net/10356/146121

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...