Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform (Q1983760): Difference between revisions

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English	Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform	scientific article

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scholarly article

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title

Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform (English)

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Journal of Industrial and Management Optimization

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publication date

10 September 2021

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zbMATH Keywords

investment

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reinsurance

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HARA utility

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Legendre transform

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Heston's SV model

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.3934/jimo.2020062

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cites work

Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model

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

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Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform

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Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model

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Q3868650

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Aspects of risk theory

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A stability result for the HARA class with stochastic interest rates.

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Constant elasticity of variance model for proportional reinsurance and investment strategies

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Optimal investment strategies for the HARA utility under the constant elasticity of variance model

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Explicit solutions to an optimal portfolio choice problem with stochastic income

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Robust optimal investment and reinsurance problem for a general insurance company under Heston model

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Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities

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Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

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Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model

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Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model

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Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model

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Optimal dynamic reinsurance with dependent risks: variance premium principle

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

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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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Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk

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Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model

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The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

0 references

Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

0 references

Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

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Optimal investment and risk control policies for an insurer: expected utility maximization

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Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models

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Identifiers

zbMATH Open document ID

1476.91136

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:1983760

@@ Property / DOI @@
-.3934/jimo.2020062
@@ Property / DOI: 10.3934/jimo.2020062 / rank @@
-Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.3934/jimo.2020062
+Normal rank
@@ Property / OpenAlex ID @@
+W3012829173
@@ Property / OpenAlex ID: W3012829173 / 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 @@
+Dynamic mean-variance problem with constrained risk control for the insurers
+Normal rank
@@ Property / cites work @@
+Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
+Normal rank
@@ Property / cites work @@
+Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
+Normal rank
@@ Property / cites work @@
+Q3868650
@@ Property / cites work: Q3868650 / rank @@
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+A stability result for the HARA class with stochastic interest rates.
+Normal rank
@@ Property / cites work @@
+Constant elasticity of variance model for proportional reinsurance and investment strategies
+Normal rank
@@ Property / cites work @@
+Optimal investment strategies for the HARA utility under the constant elasticity of variance model
+Normal rank
@@ Property / cites work @@
+Explicit solutions to an optimal portfolio choice problem with stochastic income
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance problem for a general insurance company under Heston model
+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 @@
+Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston 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 dynamic reinsurance with dependent risks: variance premium principle
+Normal rank
@@ Property / cites work @@
+Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
+Normal rank
@@ Property / cites work @@
+Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
+Normal rank
@@ Property / cites work @@
+The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
+Normal rank
@@ Property / cites work @@
+Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility 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 @@
+Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
+Normal rank
@@ Property / cites work @@
+Optimal investment and risk control policies for an insurer: expected utility maximization
+Normal rank
@@ Property / cites work @@
+Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
+Normal rank
@@ Property / DOI @@
+.3934/JIMO.2020062
@@ Property / DOI: 10.3934/JIMO.2020062 / rank @@
+Normal rank