Optimal investment and risk control policies for an insurer in an incomplete market (Q5239078): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
Created claim: Wikidata QID (P12): Q128129460, #quickstatements; #temporary_batch_1727091263461
 
(2 intermediate revisions by 2 users not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1080/02331934.2019.1581778 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2921606944 / 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 insurer with jump-diffusion risk process / 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: On optimal investment in a reinsurance context with a point process market model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control and dependence modeling of insurance portfolios with Lévy dynamics / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment and proportional reinsurance with constrained control variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal proportional reinsurance and investment under partial information / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust optimal investment and reinsurance problem for a general insurance company under Heston model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model / rank
 
Normal rank
Property / cites work
 
Property / cites work: Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility / rank
 
Normal rank
Property / cites work
 
Property / cites work: Martingales and arbitrage in multiperiod securities markets / 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: Optimal investment for an insurer in the Lévy market: the martingale approach / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market / 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: Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal consumption and portfolio policies when asset prices follow a diffusion process / 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: A secret to create a complete market from an incomplete market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Optimal investment with multiple risky assets for an insurer in an incomplete market / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Stochastic calculus for finance. II: Continuous-time models. / rank
 
Normal rank
Property / Wikidata QID
 
Property / Wikidata QID: Q128129460 / rank
 
Normal rank

Latest revision as of 12:38, 23 September 2024

scientific article; zbMATH DE number 7119967
Language Label Description Also known as
English
Optimal investment and risk control policies for an insurer in an incomplete market
scientific article; zbMATH DE number 7119967

    Statements

    Optimal investment and risk control policies for an insurer in an incomplete market (English)
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    21 October 2019
    0 references
    investment
    0 references
    risk control
    0 references
    martingale approach
    0 references
    mean-variance
    0 references
    expected utility
    0 references

    Identifiers

    0 references
    0 references
    0 references
    0 references
    0 references
    0 references
    0 references