Martingale method for optimal investment and proportional reinsurance (Q2036123): Difference between revisions

From MaRDI portal
Added link to MaRDI item.
ReferenceBot (talk | contribs)
Changed an Item
 
(2 intermediate revisions by 2 users not shown)
Property / MaRDI profile type
 
Property / MaRDI profile type: MaRDI publication profile / rank
 
Normal rank
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s11766-021-3463-8 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W3135404676 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment for insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: On minimizing the ruin probability by investment and reinsurance / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal Investment for an Insurer to Minimize Its Probability of Ruin / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic calculus for finance. I: The binomial asset pricing model. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment for insurer with jump-diffusion risk process / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment for an insurer: the martingale approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingale and Duality Methods for Utility Maximization in an Incomplete Market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Constant elasticity of variance model for proportional reinsurance and investment strategies / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment and risk control policies for an insurer: expected utility maximization / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal portfolio choice for an insurer with loss aversion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal time-consistent investment and reinsurance policies for mean-variance insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Benchmark and mean-variance problems for insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint / rank
 
Normal rank
Property / cites work
 
Property / cites work: Applied stochastic control of jump diffusions. / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank

Latest revision as of 01:39, 26 July 2024

scientific article
Language Label Description Also known as
English
Martingale method for optimal investment and proportional reinsurance
scientific article

    Statements

    Martingale method for optimal investment and proportional reinsurance (English)
    0 references
    0 references
    0 references
    0 references
    28 June 2021
    0 references
    martingale method
    0 references
    proportional reinsurance
    0 references
    investment
    0 references
    exponential utility
    0 references
    quadratic utility
    0 references

    Identifiers