Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation



Guo, Chang, Zhuo, Xiaoyang, Constantinescu, Corina and Pamen, Olivier Menoukeu
(2018) Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation. METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 20 (4). 1477 - 1502.

Access the full-text of this item by clicking on the Open Access link.
Item Type: Article
Uncontrolled Keywords: Optimal reinsurance-investment strategy, Foreign exchange market, Extended CIR, Stochastic inflation, Dynamic programming principle, 49L20, 91G80
Depositing User: Symplectic Admin
Date Deposited: 03 Apr 2018 15:34
Last Modified: 08 Dec 2019 07:10
DOI: 10.1007/s11009-018-9630-7
Open Access URL: https://link.springer.com/article/10.1007/s11009-0...
Related URLs:
URI: http://livrepository.liverpool.ac.uk/id/eprint/3019752
Repository Staff Access