Optimal reinsurance and investment problem for an insurer with counterparty risk (Q2347114): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2015.01.013
+Normal rank
@@ Property / OpenAlex ID @@
+W2060173475
@@ Property / OpenAlex ID: W2060173475 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with a defaultable security
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+An optimal portfolio problem in a defaultable market
+Normal rank
@@ Property / cites work @@
+Stochastic portfolio optimization with default risk
+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 @@
+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio policies when asset prices follow a diffusion process
+Normal rank
@@ Property / cites work @@
+A stochastic differential game for optimal investment of an insurer with regime switching
+Normal rank
@@ Property / cites work @@
+An HMM approach for optimal investment of an insurer
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
+Normal rank
@@ Property / cites work @@
+Constant elasticity of variance model for proportional reinsurance and investment strategies
+Normal rank
@@ Property / cites work @@
+Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Q2782358
@@ Property / cites work: Q2782358 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment with counterparty risk: a default-density model approach
+Normal rank
@@ Property / cites work @@
+The dynamics of stochastic volatility: evidence from underlying and options markets
+Normal rank
@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
+Normal rank
@@ Property / cites work @@
+Martingale and Duality Methods for Utility Maximization in an Incomplete Market
+Normal rank
@@ Property / cites work @@
+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment with unobservable claim size and intensity
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance with dynamic risk constraint and regime switching
+Normal rank
@@ Property / cites work @@
+On reinsurance and investment for large insurance portfolios
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment under partial information
+Normal rank
@@ Property / cites work @@
+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Q4890882
@@ Property / cites work: Q4890882 / rank @@
+Normal rank
@@ Property / cites work @@
+A stochastic volatility model and optimal portfolio selection
+Normal rank
@@ Property / cites work @@
+On optimal proportional reinsurance and investment in a Markovian regime-switching economy
+Normal rank
@@ Property / cites work @@
+Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
+Normal rank