Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach (Q2513435): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.04.004 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W1987404879 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic mean-variance problem with constrained risk control for the insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Benchmark and mean-variance problems for insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer / rank
 
Normal rank
Property / cites work
 
Property / cites work: Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Stochastic Portfolio Optimization Model with Bounded Memory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Mean-variance portfolio selection for a non-life insurance company / rank
 
Normal rank
Property / cites work
 
Property / cites work: Backward Stochastic Differential Equations in Finance / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic differential game for optimal investment of an insurer with regime switching / rank
 
Normal rank
Property / cites work
 
Property / cites work: Some Solvable Stochastic Control Problems With Delay / rank
 
Normal rank
Property / cites work
 
Property / cites work: A stochastic control problem with delay arising in a pension fund model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Aspects of risk theory / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal proportional reinsurance policies for diffusion models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic differential portfolio games for an insurer in a jump-diffusion risk process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q3707054 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) / rank
 
Normal rank
Property / cites work
 
Property / cites work: On minimizing the ruin probability by investment and reinsurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: On maximizing the expected terminal utility by investment and reinsurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment for insurer with jump-diffusion risk process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal time-consistent investment and reinsurance policies for mean-variance insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal reinsurance-investment strategies for insurers under mean-car criteria / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment and reinsurance of an insurer with model uncertainty / rank
 
Normal rank
Property / cites work
 
Property / cites work: On optimal proportional reinsurance and investment in a Markovian regime-switching economy / rank
 
Normal rank
Property / cites work
 
Property / cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework / rank
 
Normal rank

Latest revision as of 15:01, 9 July 2024

scientific article
Language Label Description Also known as
English
Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
scientific article

    Statements

    Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach (English)
    0 references
    0 references
    0 references
    28 January 2015
    0 references
    investment-reinsurance
    0 references
    mean-variance
    0 references
    delay
    0 references
    stochastic maximum principle
    0 references
    0 references
    0 references

    Identifiers