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Optimal investment-reinsurance policy with regime switching and value-at-risk constraint.

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Title: Optimal investment-reinsurance policy with regime switching and value-at-risk constraint.
Authors: Yan, Ming1 (AUTHOR) yanming19860207@163.com, Yang, Hongtao2 (AUTHOR) hongtao.yang@unlv.edu, Zhang, Lei1 (AUTHOR) 1648678041@qq.com, Zhang, Shuhua1 (AUTHOR) szhang@tjufe.edu.cn
Source: Journal of Industrial & Management Optimization. Sep2020, Vol. 16 Issue 5, p2195-2211. 17p.
Database: Mathematics Source
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ISSN:15475816
DOI:10.3934/jimo.2019050