Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching (Q517215): Difference between revisions

@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10255-016-0602-9
+Normal rank
@@ Property / OpenAlex ID @@
+W2514671150
@@ Property / OpenAlex ID: W2514671150 / rank @@
+Normal rank
@@ Property / cites work @@
+Coherent Measures of Risk
@@ Property / cites work: Coherent Measures of Risk / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with unobservable Markov-modulated drift process
+Normal rank
@@ Property / cites work @@
+PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
+Normal rank
@@ Property / cites work @@
+Q5505177
@@ Property / cites work: Q5505177 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3969647
@@ Property / cites work: Q3969647 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3200962
@@ Property / cites work: Q3200962 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4323296
@@ Property / cites work: Q4323296 / rank @@
+Normal rank
@@ Property / cites work @@
+On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
+Normal rank
@@ Property / cites work @@
+A stochastic differential game for optimal investment of an insurer with regime switching
+Normal rank
@@ Property / cites work @@
+A BSDE approach to a risk-based optimal investment of an insurer
+Normal rank
@@ Property / cites work @@
+An HMM approach for optimal investment of an insurer
+Normal rank
@@ Property / cites work @@
+Convex measures of risk and trading constraints
@@ Property / cites work: Convex measures of risk and trading constraints / rank @@
+Normal rank
@@ Property / cites work @@
+Q3908216
@@ Property / cites work: Q3908216 / rank @@
+Normal rank
@@ Property / cites work @@
+Backward stochastic differential equations with jumps and related nonlinear expectations
+Normal rank
@@ Property / cites work @@
+A BSDE approach to risk-based asset allocation of pension funds with regime switching
+Normal rank
@@ Property / cites work @@
+A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
+Normal rank
@@ Property / cites work @@
+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
+Normal rank
@@ Property / cites work @@
+On optimal proportional reinsurance and investment in a Markovian regime-switching economy
+Normal rank
@@ Property / cites work @@
+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
+Normal rank