Optimal investment and risk control for an insurer with stochastic factor (Q1728224): Difference between revisions

@@ Property / author @@
-Li Jun Bo
@@ Property / author: Li Jun Bo / rank @@
-Normal rank
@@ Property / author @@
+Li Jun Bo
@@ Property / author: Li Jun Bo / 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/10.1016/j.orl.2017.04.002
+Normal rank
@@ Property / OpenAlex ID @@
+W2606495118
@@ Property / OpenAlex ID: W2606495118 / rank @@
+Normal rank
@@ Property / cites work @@
+Classical solutions to reaction-diffusion systems for hedging problems with interacting Itô and point processes
+Normal rank
@@ Property / cites work @@
+Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
+Normal rank
@@ Property / cites work @@
+Kernel-correlated Lévy field driven forward rate and application to derivative pricing
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption in a Black-Scholes market with Lévy-driven stochastic coefficients
+Normal rank
@@ Property / cites work @@
+Q4086524
@@ Property / cites work: Q4086524 / rank @@
+Normal rank
@@ Property / cites work @@
+Martingales versus PDEs in finance: an equivalence result with examples
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance policies for diffusion models
+Normal rank
@@ Property / cites work @@
+Q3910361
@@ Property / cites work: Q3910361 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+The Bellman equation for power utility maximization with semimartingales
+Normal rank
@@ Property / cites work @@
+POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS
+Normal rank
@@ Property / cites work @@
+Optimal investment and risk control for an insurer under inside information
+Normal rank
@@ Property / cites work @@
+Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment for an insurer: the martingale approach
+Normal rank
@@ Property / cites work @@
+A solution approach to valuation with unhedgeable risks
+Normal rank
@@ Property / cites work @@
+Q3656701
@@ Property / cites work: Q3656701 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
+Normal rank
@@ Property / cites work @@
+Optimal investment and risk control policies for an insurer: expected utility maximization
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:1728224