Optimal investment and reinsurance policies in insurance markets under the effect of inside information (Q5414518): Difference between revisions

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scientific article; zbMATH DE number 6292449

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English	Optimal investment and reinsurance policies in insurance markets under the effect of inside information	scientific article; zbMATH DE number 6292449

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instance of

scholarly article

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title

Optimal investment and reinsurance policies in insurance markets under the effect of inside information (English)

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author

Ioannis D. Baltas

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Nikolaos E. Frangos

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Athanasios N. Yannacopoulos

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published in

Applied Stochastic Models in Business and Industry

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publication date

6 May 2014

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zbMATH Keywords

inside information

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Hamilton-Jacobi-Bellman equation

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proportional reinsurance

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insurance markets

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1002/asmb.925

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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 proportional reinsurance policies for diffusion models with transaction costs

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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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Optimal Proportional Reinsurance Policies in a Dynamic Setting

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On minimizing the ruin probability by investment and reinsurance

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Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions

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On maximizing the expected terminal utility by investment and reinsurance

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Equilibrium in a Reinsurance Market

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Free lunch and arbitrage possibilities in a financial market model with an insider.

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Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches

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Anticipative portfolio optimization

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Diffusion approximations in collective risk theory

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Q4311656

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Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

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Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation

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Optimal reinsurance strategy under fixed cost and delay

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Optimal control of capital injections by reinsurance in a diffusion approximation

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Optimal proportional reinsurance with constant dividend barrier

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Optimal financing and dividend control of the insurance company with proportional reinsurance policy

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On reinsurance and investment for large insurance portfolios

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Optimal dynamic reinsurance policies for large insurance portfolios

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Optimal reinsurance with a rescuing procedure

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MINIMAL VARIANCE HEDGING FOR INSIDER TRADING

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Semi-martingales et grossissement d'une filtration

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Controlled Markov processes and viscosity solutions

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Identifiers

zbMATH Open document ID

1286.91064

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DOI

10.1002/asmb.925

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5414518

@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance policies for diffusion models with transaction costs
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
+Normal rank
@@ Property / cites work @@
+On maximizing the expected terminal utility by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Equilibrium in a Reinsurance Market
@@ Property / cites work: Equilibrium in a Reinsurance Market / rank @@
+Normal rank
@@ Property / cites work @@
+Free lunch and arbitrage possibilities in a financial market model with an insider.
+Normal rank
@@ Property / cites work @@
+Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
+Normal rank
@@ Property / cites work @@
+Anticipative portfolio optimization
@@ Property / cites work: Anticipative portfolio optimization / rank @@
+Normal rank
@@ Property / cites work @@
+Diffusion approximations in collective risk theory
+Normal rank
@@ Property / cites work @@
+Q4311656
@@ Property / cites work: Q4311656 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance strategy under fixed cost and delay
+Normal rank
@@ Property / cites work @@
+Optimal control of capital injections by reinsurance in a diffusion approximation
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance with constant dividend barrier
+Normal rank
@@ Property / cites work @@
+Optimal financing and dividend control of the insurance company with proportional reinsurance policy
+Normal rank
@@ Property / cites work @@
+On reinsurance and investment for large insurance portfolios
+Normal rank
@@ Property / cites work @@
+Optimal dynamic reinsurance policies for large insurance portfolios
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance with a rescuing procedure
@@ Property / cites work: Optimal reinsurance with a rescuing procedure / rank @@
+Normal rank
@@ Property / cites work @@
+MINIMAL VARIANCE HEDGING FOR INSIDER TRADING
@@ Property / cites work: MINIMAL VARIANCE HEDGING FOR INSIDER TRADING / rank @@
+Normal rank
@@ Property / cites work @@
+Semi-martingales et grossissement d'une filtration
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank