Optimal investment and risk control for an insurer with partial information in an anticipating environment (Q4562057): Difference between revisions

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scientific article; zbMATH DE number 6993728

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English	Optimal investment and risk control for an insurer with partial information in an anticipating environment	scientific article; zbMATH DE number 6993728

Statements

instance of

scholarly article

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title

Optimal investment and risk control for an insurer with partial information in an anticipating environment (English)

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Scandinavian Actuarial Journal

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publication date

14 December 2018

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zbMATH Keywords

investment

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risk control

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partial information

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anticipating environment

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forward integrals

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Malliavin calculus

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2018.1475300

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cites work

Optimal investment and risk control for an insurer with stochastic factor

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Optimal portfolio for an insider in a market driven by Lévy processes§

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Optimal portfolio, partial information and Malliavin calculus

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A market model with medium/long-term effects due to an insider

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Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables

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UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET

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Optimal trading strategy for an investor: the case of partial information

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Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information

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Optimal reinsurance/investment problems for general insurance models

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On reinsurance and investment for large insurance portfolios

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Exponential utility maximization under partial information

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The Malliavin Calculus and Related Topics

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Partial observation control in an anticipating environment

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Optimal proportional reinsurance and investment under partial information

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Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching

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Optimal investment and risk control for an insurer under inside information

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On minimizing the ruin probability by investment and reinsurance

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

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A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching

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Mean‐Variance Portfolio Selection under Partial Information

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Optimal investment and risk control policies for an insurer: expected utility maximization

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Identifiers

zbMATH Open document ID

1418.91255

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DOI

10.1080/03461238.2018.1475300

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4562057

@@ 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/10.1080/03461238.2018.1475300
+Normal rank
@@ Property / OpenAlex ID @@
+W2806057345
@@ Property / OpenAlex ID: W2806057345 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment and risk control for an insurer with stochastic factor
+Normal rank
@@ Property / cites work @@
+Optimal portfolio for an insider in a market driven by Lévy processes§
+Normal rank
@@ Property / cites work @@
+Optimal portfolio, partial information and Malliavin calculus
+Normal rank
@@ Property / cites work @@
+A market model with medium/long-term effects due to an insider
+Normal rank
@@ Property / cites work @@
+Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
+Normal rank
@@ Property / cites work @@
+UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
+Normal rank
@@ Property / cites work @@
+Optimal trading strategy for an investor: the case of partial information
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance/investment problems for general insurance models
+Normal rank
@@ Property / cites work @@
+On reinsurance and investment for large insurance portfolios
+Normal rank
@@ Property / cites work @@
+Exponential utility maximization under partial information
+Normal rank
@@ Property / cites work @@
+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
+Normal rank
@@ Property / cites work @@
+Partial observation control in an anticipating environment
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment under partial information
+Normal rank
@@ Property / cites work @@
+Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
+Normal rank
@@ Property / cites work @@
+Optimal investment and risk control for an insurer under inside information
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
+Normal rank
@@ Property / cites work @@
+A BSDE Approach to Optimal Investment of an Insurer with Hidden Regime Switching
+Normal rank
@@ Property / cites work @@
+Mean‐Variance Portfolio Selection under Partial Information
+Normal rank
@@ Property / cites work @@
+Optimal investment and risk control policies for an insurer: expected utility maximization
+Normal rank