Optimal proportional reinsurance and investment under partial information (Q2513598): Difference between revisions

@@ Property / author @@
-Xing-Chun Peng
@@ Property / author: Xing-Chun Peng / rank @@
-Normal rank
@@ Property / author @@
-Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
-Normal rank
@@ Property / author @@
+Xing-Chun Peng
@@ Property / author: Xing-Chun Peng / rank @@
+Normal rank
@@ Property / author @@
+Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2013.07.004
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@@ Property / OpenAlex ID @@
+W2049124150
@@ Property / OpenAlex ID: W2049124150 / 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 Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
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@@ Property / cites work @@
+Optimal portfolio, partial information and Malliavin calculus
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@@ Property / cites work @@
+Q3868650
@@ Property / cites work: Q3868650 / rank @@
+Normal rank
@@ Property / cites work @@
+A Note On Utility Maximization Under Partial Observations<sup>1</sup>
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+UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
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+Optimal trading strategy for an investor: the case of partial information
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+Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
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+Optimal reinsurance/investment problems for general insurance models
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+On reinsurance and investment for large insurance portfolios
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+Exponential utility maximization under partial information
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+A mean-field stochastic maximum principle via Malliavin calculus
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+The Malliavin Calculus and Related Topics
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+Optimal portfolio in partially observed stochastic volatility models.
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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 proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
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