Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information (Q519261): Difference between revisions

@@ Property / author @@
-Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
-Normal rank
@@ Property / author @@
+Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6700453
@@ Property / zbMATH DE Number: 6700453 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+reinsurance
@@ Property / zbMATH Keywords: reinsurance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+portfolio
@@ Property / zbMATH Keywords: portfolio / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+inside information
@@ Property / zbMATH Keywords: inside information / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+time-consistency
@@ Property / zbMATH Keywords: time-consistency / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mean-variance criterion
@@ Property / zbMATH Keywords: mean-variance criterion / rank @@
+Normal rank
@@ 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/10.1007/s10255-016-0629-y
+Normal rank
@@ Property / OpenAlex ID @@
+W2523900260
@@ Property / OpenAlex ID: W2523900260 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance problem with constrained risk control for the insurers
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance policies in insurance markets under the effect of inside information
+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 @@
+A general stochastic calculus approach to insider trading
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
+Normal rank
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+Mean-variance portfolio selection for a non-life insurance company
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+A market model with medium/long-term effects due to an insider
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+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
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+Q4197141
@@ Property / cites work: Q4197141 / rank @@
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+On reinsurance and investment for large insurance portfolios
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+Optimal proportional reinsurance and investment under partial information
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@@ Property / cites work: Anticipative portfolio optimization / rank @@
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+Q4435813
@@ Property / cites work: Q4435813 / rank @@
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+On minimizing the ruin probability by investment and reinsurance
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+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:519261