Optimal investment and risk control for an insurer under inside information (Q343979): Difference between revisions

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-.1016/j.insmatheco.2016.04.008
@@ Property / DOI: 10.1016/j.insmatheco.2016.04.008 / rank @@
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-Xing-Chun Peng
@@ Property / author: Xing-Chun Peng / rank @@
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@@ Property / author @@
+Xing-Chun Peng
@@ Property / author: Xing-Chun Peng / rank @@
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@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2016.04.008
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@@ Property / OpenAlex ID @@
+W2345582795
@@ Property / OpenAlex ID: W2345582795 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
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@@ Property / cites work @@
+Optimal investment and reinsurance policies in insurance markets under the effect of inside information
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+Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
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+A general stochastic calculus approach to insider trading
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+Optimal investment with inside information and parameter uncertainty
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+MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
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+Optimal portfolio for an insider in a market driven by Lévy processes§
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+Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
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+Optimal Smooth Portfolio Selection for an Insider
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+PROGRESSIVE FILTRATION EXPANSIONS VIA A PROCESS, WITH APPLICATIONS TO INSIDER TRADING
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+UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
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+Insider models with finite utility in markets with jumps
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+An Anticipating Calculus Approach to the Utility Maximization of an Insider
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+Stochastic differential games in insider markets via Malliavin calculus
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+Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
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+Anticipative portfolio optimization
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+Forward, backward and symmetric stochastic integration
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+Optimal investment and risk control policies for an insurer: expected utility maximization
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@@ Property / DOI @@
+.1016/J.INSMATHECO.2016.04.008
@@ Property / DOI: 10.1016/J.INSMATHECO.2016.04.008 / rank @@
+Normal rank