Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling (Q282282): Difference between revisions

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scientific article

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English	Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling	scientific article

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instance of

scholarly article

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title

Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling (English)

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Insurance Mathematics \& Economics

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publication date

12 May 2016

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zbMATH Keywords

investment and reinsurance

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generalized mean-variance premium principle

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expected utility

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ruin probability

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stochastic control

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.insmatheco.2016.01.001

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cites work

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

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Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

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Dynamic mean-variance problem with constrained risk control for the insurers

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Benchmark and mean-variance problems for insurers

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Optimal investment-reinsurance policy for an insurance company with VaR constraint

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Controlled Markov processes and viscosity solutions

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Aspects of risk theory

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Optimal Reinsurance for Variance Related Premium Calculation Principles

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Optimal investment for insurers

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Optimal non-proportional reinsurance control

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Optimal reinsurance and investment with unobservable claim size and intensity

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Optimal dynamic reinsurance with dependent risks: variance premium principle

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Optimal Risk Control for The Excess of Loss Reinsurance Policies

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

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Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

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A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients

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Optimal investment for insurer with jump-diffusion risk process

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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

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Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

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On optimal proportional reinsurance and investment in a Markovian regime-switching economy

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Optimal Dynamic Risk Control for Insurers with State-Dependent Income

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Identifiers

zbMATH Open document ID

1348.91193

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DOI

10.1016/j.insmatheco.2016.01.001

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:282282

@@ 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.2016.01.001
+Normal rank
@@ Property / OpenAlex ID @@
+W2299522835
@@ Property / OpenAlex ID: W2299522835 / 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 dynamic excess-of-loss reinsurance and multidimensional portfolio selection
+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-reinsurance policy for an insurance company with VaR constraint
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Reinsurance for Variance Related Premium Calculation Principles
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal non-proportional reinsurance control
@@ Property / cites work: Optimal non-proportional reinsurance control / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment with unobservable claim size and intensity
+Normal rank
@@ Property / cites work @@
+Optimal dynamic reinsurance with dependent risks: variance premium principle
+Normal rank
@@ Property / cites work @@
+Optimal Risk Control for The Excess of Loss Reinsurance Policies
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
+Normal rank
@@ Property / cites work @@
+A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+On optimal proportional reinsurance and investment in a Markovian regime-switching economy
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Risk Control for Insurers with State-Dependent Income
+Normal rank