Optimal investment problem for an insurer and a reinsurer (Q256739): Difference between revisions

@@ Property / DOI @@
-.1007/s11424-015-3065-9
@@ Property / DOI: 10.1007/s11424-015-3065-9 / rank @@
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@@ Property / author @@
-Xi-Min Rong
@@ Property / author: Xi-Min Rong / rank @@
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@@ Property / author @@
+Xi-Min Rong
@@ Property / author: Xi-Min Rong / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+L20
@@ Property / Mathematics Subject Classification ID: 49L20 / rank @@
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@@ Property / zbMATH DE Number @@
+6553047
@@ Property / zbMATH DE Number: 6553047 / rank @@
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@@ Property / zbMATH Keywords @@
+Hamilton-Jacobi-Bellman equation
@@ Property / zbMATH Keywords: Hamilton-Jacobi-Bellman equation / rank @@
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@@ Property / zbMATH Keywords @@
+optimal reinsurance and investment strategies
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@@ Property / zbMATH Keywords @@
+proportional reinsurance
@@ Property / zbMATH Keywords: proportional reinsurance / rank @@
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@@ Property / zbMATH Keywords @@
+ruin probability
@@ Property / zbMATH Keywords: ruin probability / rank @@
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@@ Property / zbMATH Keywords @@
+utility maximization
@@ Property / zbMATH Keywords: utility maximization / rank @@
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@@ Property / MaRDI profile type @@
+Publication
@@ Property / MaRDI profile type: Publication / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11424-015-3065-9
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@@ Property / OpenAlex ID @@
+W2398149047
@@ Property / OpenAlex ID: W2398149047 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Upper bound for finite-time ruin probability in a Markov-modulated market
+Normal rank
@@ Property / cites work @@
+Optimal investment and proportional reinsurance in the Sparre Andersen model
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Optimal investment for an insurer with exponential utility preference
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment with unobservable claim size and intensity
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance problem with constrained risk control for the insurers
+Normal rank
@@ Property / cites work @@
+Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
+Normal rank
@@ Property / cites work @@
+Constant elasticity of variance model for proportional reinsurance and investment strategies
+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 reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
+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 time-consistent investment and reinsurance strategies for insurers under Heston's SV model
+Normal rank
@@ Property / cites work @@
+Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
+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 @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
+Normal rank
@@ Property / DOI @@
+.1007/S11424-015-3065-9
@@ Property / DOI: 10.1007/S11424-015-3065-9 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:256739