OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET (Q5369449): Difference between revisions

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scientific article; zbMATH DE number 6792314

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English	OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET	scientific article; zbMATH DE number 6792314

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instance of

scholarly article

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title

OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET (English)

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17 October 2017

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zbMATH Keywords

jump-diffusion risk model

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optimal investment strategy

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proportional reinsurance

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exponential utility

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Hamilton-Jacobi-Bellman equation

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MaRDI profile type

MaRDI publication profile

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cites work

Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

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Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

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Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

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Martingale Analysis for Assets with Discontinuous Returns

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Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer

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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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Optimal investment-reinsurance policy for an insurance company with VaR constraint

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Q4032143

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Constant elasticity of variance model for proportional reinsurance and investment strategies

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Optimal portfolio selection when stock prices follow an jump-diffusion process

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Optimal investment for insurers

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Optimal portfolio for a small investor in a market model with discontinuous prices

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Optimal investment and proportional reinsurance with constrained control variables

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OPTIMAL INVESTMENT AND REINSURANCE IN A 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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Applied stochastic control of jump diffusions.

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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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Q4230625

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Optimal Proportional Reinsurance Policies in a Dynamic Setting

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On minimizing the ruin probability by investment and reinsurance

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Optimal investment for an insurer with exponential utility preference

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On maximizing the expected terminal utility by investment and reinsurance

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Optimal investment for insurer with jump-diffusion risk process

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Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

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Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle

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Identifiers

zbMATH Open document ID

1376.91101

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DOI

10.1017/S1446181115000280

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5369449

@@ Property / cites work @@
+Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
+Normal rank
@@ Property / cites work @@
+Martingale Analysis for Assets with Discontinuous Returns
+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 @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance policy for an insurance company with VaR constraint
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Constant elasticity of variance model for proportional reinsurance and investment strategies
+Normal rank
@@ Property / cites work @@
+Optimal portfolio selection when stock prices follow an jump-diffusion process
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolio for a small investor in a market model with discontinuous prices
+Normal rank
@@ Property / cites work @@
+Optimal investment and proportional reinsurance with constrained control variables
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT AND REINSURANCE IN A 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 @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal investment for an insurer with exponential utility preference
+Normal rank
@@ Property / cites work @@
+On maximizing the expected terminal utility by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
+Normal rank