Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model (Q5414522): Difference between revisions

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scientific article; zbMATH DE number 6292453

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English	Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model	scientific article; zbMATH DE number 6292453

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scholarly article

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title

Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model (English)

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zbMATH Open document ID

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Applied Stochastic Models in Business and Industry

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publication date

6 May 2014

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Mathematics Subject Classification ID

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stochastic control

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CEV model

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exponential utility

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proportional reinsurance

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investment

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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.934

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OpenAlex ID

W1996676951

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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 investment for insurers

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Optimal investment for investors with state dependent income, and for insurers

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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 control of risk exposure, reinsurance and investments for insurance portfolios

0 references

Optimal investment for insurer with jump-diffusion risk process

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

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Optimal investment and proportional reinsurance with constrained control variables

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

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On reinsurance and investment for large insurance portfolios

0 references

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

0 references

Optimal Investment for an Insurer to Minimize Its Probability of Ruin

0 references

Asymptotics of ruin probabilities for controlled risk processes in the small claims case

0 references

Asymptotic ruin probabilities and optimal investment

0 references

Excess of loss reinsurance limits

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Measuring the effects of reinsurance by the adjustment coefficient

0 references

Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.

0 references

On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance

0 references

Optimal Proportional Reinsurance and Ruin Probability

0 references

Upper bound for ruin probabilities under optimal investment and proportional reinsurance

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OPTIMAL PROPORTIONAL REINSURANCE UNDER TWO CRITERIA: MAXIMIZING THE EXPECTED UTILITY AND MINIMIZING THE VALUE AT RISK

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Optimal investment for an insurer with exponential utility preference

0 references

An optimal investment strategy with maximal risk aversion and its ruin probability

0 references

Optimal insurance in a continuous-time model

0 references

The Pricing of Options and Corporate Liabilities

0 references

The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

0 references

Optimal portfolios for DC pension plans under a CEV model

0 references

Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model

0 references

Constant elasticity of variance model for proportional reinsurance and investment strategies

0 references

Risk theory for the compound Poisson process that is perturbed by diffusion

0 references

Q3868650

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The dynamics of stochastic volatility: evidence from underlying and options markets

0 references

Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation

0 references

Optimum consumption and portfolio rules in a continuous-time model

0 references

Optimization Problems in the Theory of Continuous Trading

0 references

Q4032143

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Sitelinks

Mathematics(1 entry)

mardi Publication:5414522

@@ Property / full work available at URL @@
+https://doi.org/10.1002/asmb.934
@@ Property / full work available at URL: https://doi.org/10.1002/asmb.934 / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1996676951
@@ Property / OpenAlex ID: W1996676951 / 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
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment for investors with state dependent income, and for insurers
+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 control of risk exposure, reinsurance and investments for insurance portfolios
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
+Normal rank
@@ Property / cites work @@
+Optimal investment and proportional reinsurance with constrained control variables
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+On reinsurance and investment for large insurance portfolios
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Optimal Investment for an Insurer to Minimize Its Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Asymptotics of ruin probabilities for controlled risk processes in the small claims case
+Normal rank
@@ Property / cites work @@
+Asymptotic ruin probabilities and optimal investment
+Normal rank
@@ Property / cites work @@
+Excess of loss reinsurance limits
@@ Property / cites work: Excess of loss reinsurance limits / rank @@
+Normal rank
@@ Property / cites work @@
+Measuring the effects of reinsurance by the adjustment coefficient
+Normal rank
@@ Property / cites work @@
+Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.
+Normal rank
@@ Property / cites work @@
+On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance and Ruin Probability
+Normal rank
@@ Property / cites work @@
+Upper bound for ruin probabilities under optimal investment and proportional reinsurance
+Normal rank
@@ Property / cites work @@
+OPTIMAL PROPORTIONAL REINSURANCE UNDER TWO CRITERIA: MAXIMIZING THE EXPECTED UTILITY AND MINIMIZING THE VALUE AT RISK
+Normal rank
@@ Property / cites work @@
+Optimal investment for an insurer with exponential utility preference
+Normal rank
@@ Property / cites work @@
+An optimal investment strategy with maximal risk aversion and its ruin probability
+Normal rank
@@ Property / cites work @@
+Optimal insurance in a continuous-time model
@@ Property / cites work: Optimal insurance in a continuous-time model / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
+Normal rank
@@ Property / cites work @@
+Optimal portfolios for DC pension plans under a CEV model
+Normal rank
@@ Property / cites work @@
+Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
+Normal rank
@@ Property / cites work @@
+Constant elasticity of variance model for proportional reinsurance and investment strategies
+Normal rank
@@ Property / cites work @@
+Risk theory for the compound Poisson process that is perturbed by diffusion
+Normal rank
@@ Property / cites work @@
+Q3868650
@@ Property / cites work: Q3868650 / rank @@
+Normal rank
@@ Property / cites work @@
+The dynamics of stochastic volatility: evidence from underlying and options markets
+Normal rank
@@ Property / cites work @@
+Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Optimization Problems in the Theory of Continuous Trading
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank