Optimal reinsurance and investment problem with default risk and bounded memory (Q3386600): Difference between revisions

@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1080/00207179.2019.1573320
+Normal rank
@@ Property / OpenAlex ID @@
+W2810499246
@@ Property / OpenAlex ID: W2810499246 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with a defaultable security
+Normal rank
@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+A Stochastic Portfolio Optimization Model with Bounded Memory
+Normal rank
@@ Property / cites work @@
+Non-zero-sum stochastic differential reinsurance and investment games with default risk
+Normal rank
@@ Property / cites work @@
+Some Solvable Stochastic Control Problems With Delay
+Normal rank
@@ Property / cites work @@
+A stochastic control problem with delay arising in a pension fund model
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
+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 @@
+OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
+Normal rank
@@ Property / cites work @@
+Optimal investment in a defaultable bond
@@ Property / cites work: Optimal investment in a defaultable bond / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance reinsurance with delay and multiple\\ classes of dependent risks
+Normal rank
@@ Property / cites work @@
+A stochastic volatility model and optimal portfolio selection
+Normal rank
@@ Property / cites work @@
+Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
+Normal rank
@@ Property / cites work @@
+Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment problem for an insurer with counterparty risk
+Normal rank
@@ Property / Wikidata QID @@
+Q128511892
@@ Property / Wikidata QID: Q128511892 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3386600