Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (Q1735027): Difference between revisions

@@ Property / DOI @@
-.1016/j.insmatheco.2018.11.007
@@ Property / DOI: 10.1016/j.insmatheco.2018.11.007 / rank @@
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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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+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
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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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+Optimal investment-reinsurance policy for an insurance company with VaR constraint
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+Aspects of risk theory
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+Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
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+Optimal dynamic reinsurance with dependent risks: variance premium principle
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+Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
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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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+On minimizing the ruin probability by investment and reinsurance
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+Optimal investment for insurer with jump-diffusion risk process
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+The optimal mean-variance investment strategy under value-at-risk constraints
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+Optimal portfolios under a value-at-risk constraint
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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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+Optimal reinsurance under dynamic VaR constraint
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+Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
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+Optimal periodic dividend and capital injection problem for spectrally positive Lévy processes
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+PORTFOLIO SELECTION BY MINIMIZING THE PRESENT VALUE OF CAPITAL INJECTION COSTS
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+Optimal capital injection and dividend distribution for growth restricted diffusion models with bankruptcy
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@@ Property / Wikidata QID @@
+Q128760187
@@ Property / Wikidata QID: Q128760187 / rank @@
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@@ Property / DOI @@
+.1016/J.INSMATHECO.2018.11.007
@@ Property / DOI: 10.1016/J.INSMATHECO.2018.11.007 / rank @@
+Normal rank