Optimal investment-reinsurance policy for an insurance company with VaR constraint (Q661229): Difference between revisions

@@ Property / author @@
-Shu-Min Chen
@@ Property / author: Shu-Min Chen / rank @@
-Normal rank
@@ Property / author @@
-Zhong-Fei Li
@@ Property / author: Zhong-Fei Li / rank @@
-Normal rank
@@ Property / author @@
+Shu-Min Chen
@@ Property / author: Shu-Min Chen / rank @@
+Normal rank
@@ Property / author @@
+Zhong-Fei Li
@@ Property / author: Zhong-Fei Li / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2010.06.002
+Normal rank
@@ Property / OpenAlex ID @@
+W2025582260
@@ Property / OpenAlex ID: W2025582260 / rank @@
+Normal rank
@@ Property / cites work @@
+Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance problem with constrained risk control for the insurers
+Normal rank
@@ Property / cites work @@
+Benchmark and mean-variance problems for insurers
@@ Property / cites work: Benchmark and mean-variance problems for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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+Optimal Dynamic Trading Strategies with Risk Limits
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@@ Property / cites work @@
+Q3969647
@@ Property / cites work: Q3969647 / rank @@
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@@ Property / cites work @@
+Optimal proportional reinsurance policies for diffusion models with transaction costs
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+On reinsurance and investment for large insurance portfolios
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+Optimum consumption and portfolio rules in a continuous-time model
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+Optimal Proportional Reinsurance Policies in a Dynamic Setting
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+On optimal investment and subexponential claims
@@ Property / cites work: On optimal investment and subexponential claims / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal dynamic reinsurance policies for large insurance portfolios
+Normal rank
@@ Property / cites work @@
+Optimal portfolios under a value-at-risk constraint
+Normal rank