Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk (Q5867741): Difference between revisions

Latest revision as of 02:51, 30 July 2024

scientific article; zbMATH DE number 7585007

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English	Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk	scientific article; zbMATH DE number 7585007

Statements

instance of

scholarly article

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title

Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk (English)

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Communications in Statistics - Theory and Methods

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publication date

14 September 2022

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zbMATH Keywords

defaultable bond

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investment and reinsurance

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joint interests

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exponential utility

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dynamic programming

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03610926.2020.1862872

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cites work

A Stackelberg reinsurance–investment game with asymmetric information and delay

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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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Portfolio optimization with a defaultable security

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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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ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER

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Non-zero-sum stochastic differential reinsurance and investment games with default risk

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Optimal investment for insurers

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Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance

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

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Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance

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Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model

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Optimal Investment for an Insurer to Minimize Its Probability of Ruin

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On reinsurance and investment for large insurance portfolios

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A reinsurance game between two insurance companies with nonlinear risk processes

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Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

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

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Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market

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Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance

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A reinsurance and investment game between two insurance companies with the different opinions about some extra information

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Optimal investment for insurer with jump-diffusion risk process

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Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security

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Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion

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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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Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer

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Optimal reinsurance and investment problem for an insurer with counterparty risk

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Identifiers

DOI

10.1080/03610926.2020.1862872

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5867741

@@ 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/10.1080/03610926.2020.1862872
+Normal rank
@@ Property / OpenAlex ID @@
+W3120265486
@@ Property / OpenAlex ID: W3120265486 / rank @@
+Normal rank
@@ Property / cites work @@
+A Stackelberg reinsurance–investment game with asymmetric information and delay
+Normal rank
@@ Property / cites work @@
+Benchmark and mean-variance problems for insurers
@@ Property / cites work: Benchmark and mean-variance problems for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
+Normal rank
@@ Property / cites work @@
+Portfolio optimization with a defaultable security
+Normal rank
@@ Property / cites work @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
+Normal rank
@@ Property / cites work @@
+Non-zero-sum stochastic differential reinsurance and investment games with default risk
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Ruin probability in a correlated aggregate claims model with common Poisson shocks: application to reinsurance
+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 @@
+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 @@
+Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
+Normal rank
@@ Property / cites work @@
+Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
+Normal rank
@@ Property / cites work @@
+Optimal Investment for an Insurer to Minimize Its Probability of Ruin
+Normal rank
@@ Property / cites work @@
+On reinsurance and investment for large insurance portfolios
+Normal rank
@@ Property / cites work @@
+A reinsurance game between two insurance companies with nonlinear risk processes
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
+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 time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
+Normal rank
@@ Property / cites work @@
+Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+A reinsurance and investment game between two insurance companies with the different opinions about some extra information
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
+Normal rank
@@ Property / cites work @@
+Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
+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 / cites work @@
+Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment problem for an insurer with counterparty risk
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:5867741