Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security (Q5964415): Difference between revisions

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scientific article; zbMATH DE number 6547155

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English	Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security	scientific article; zbMATH DE number 6547155

Statements

instance of

scholarly article

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title

Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security (English)

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Journal of Mathematical Analysis and Applications

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publication date

29 February 2016

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zbMATH Keywords

defaultable bond

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time-consistent strategy

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investment and reinsurance

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mean-variance criterion

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insurer

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.jmaa.2016.01.035

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cites work

Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

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Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

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Dynamic mean-variance problem with constrained risk control for the insurers

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Benchmark and mean-variance problems for insurers

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Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer

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Portfolio optimization with a defaultable security

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Credit risk: Modelling, valuation and hedging

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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Optimal investment and consumption with default risk: HARA utility

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An optimal portfolio problem in a defaultable market

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Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING

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Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers

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Mean-variance asset-liability management: cointegrated assets and insurance liability

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Mean-variance portfolio selection for a non-life insurance company

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Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

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Optimal investment for insurers

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Mathematical methods for financial markets.

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Q4936390

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Optimal investment in a defaultable bond

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Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model

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Mean-Variance Hedging When There Are Jumps

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Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model

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Optimal Investment for an Insurer to Minimize Its Probability of Ruin

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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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

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Continuous time mean variance asset allocation: a time-consistent strategy

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Optimal investment for an insurer: the martingale approach

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Optimal investment for insurer with jump-diffusion risk process

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Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

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Identifiers

zbMATH Open document ID

1331.91105

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Mathematics Subject Classification ID

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10.1016/J.JMAA.2016.01.035

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Sitelinks

Mathematics(1 entry)

mardi Publication:5964415

@@ Property / DOI @@
-.1016/j.jmaa.2016.01.035
@@ Property / DOI: 10.1016/j.jmaa.2016.01.035 / rank @@
-Normal rank
@@ Property / cites work @@
+Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
+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 @@
+Benchmark and mean-variance problems for insurers
@@ Property / cites work: Benchmark and mean-variance problems for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with a defaultable security
+Normal rank
@@ Property / cites work @@
+Credit risk: Modelling, valuation and hedging
@@ Property / cites work: Credit risk: Modelling, valuation and hedging / rank @@
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with default risk: HARA utility
+Normal rank
@@ Property / cites work @@
+An optimal portfolio problem in a defaultable market
+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 @@
+DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Mean-variance asset-liability management: cointegrated assets and insurance liability
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection for a non-life insurance company
+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 @@
+Mathematical methods for financial markets.
@@ Property / cites work: Mathematical methods for financial markets. / rank @@
+Normal rank
@@ Property / cites work @@
+Q4936390
@@ Property / cites work: Q4936390 / rank @@
+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 reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
+Normal rank
@@ Property / cites work @@
+Mean-Variance Hedging When There Are Jumps
@@ Property / cites work: Mean-Variance Hedging When There Are Jumps / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
+Normal rank
@@ Property / cites work @@
+Optimal Investment for an Insurer to Minimize Its Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
+Normal rank
@@ Property / cites work @@
+Continuous time mean variance asset allocation: a time-consistent strategy
+Normal rank
@@ Property / cites work @@
+Optimal investment for an insurer: the martingale approach
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
+Normal rank
@@ Property / DOI @@
+.1016/J.JMAA.2016.01.035
@@ Property / DOI: 10.1016/J.JMAA.2016.01.035 / rank @@
+Normal rank