Optimal investment of a time-dependent renewal risk model with stochastic return
Work
Year: 2015
Type: article
Abstract: Consider an insurance company which is allowed to invest into a riskless and a risky asset under a constant mix strategy. The total claim amount is modeled by a non-standard renewal risk model with de... more
Authors Jiesong Zhang, Xiao Qing-xian
Cites: 19
Cited by: 3
Related to: 10
FWCI: 0.656
Citation percentile (by year/subfield): 61.87
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Sustainable Development Goal Decent work and economic growth
Open Access status: gold
APC paid (est): $1,300