Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model (Q2018495): Difference between revisions

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

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scholarly article

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title

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

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Journal of Computational and Applied Mathematics

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publication date

24 March 2015

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zbMATH Keywords

reinsurance and investment

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insurer and reinsurer

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mean-variance criterion

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time-consistent strategy

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constant elasticity of variance (CEV) model

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1016/j.cam.2015.01.038

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cites work

Optimal investment for insurers

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On minimizing the ruin probability by investment and reinsurance

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

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Optimal investment for insurer with jump-diffusion risk process

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Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation

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Optimal reinsurance and investment with unobservable claim size and intensity

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Benchmark and mean-variance problems for insurers

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Dynamic mean-variance problem with constrained risk control for the insurers

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Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers

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A theory of Markovian time-inconsistent stochastic control in discrete time

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

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Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion

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Advances in Neural Networks – ISNN 2005

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A new image thresholding method based on Gaussian mixture model

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Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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Constant elasticity of variance model for proportional reinsurance and investment strategies

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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 control of excess-of-loss reinsurance and investment for insurers under a CEV model

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Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model

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Optimal joint survival reinsurance: an efficient frontier approach

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Optimal combination of quota-share and stop-loss reinsurance treaties under the joint survival probability

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Stochastic Pareto-optimal reinsurance policies

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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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Optimal portfolios for DC pension plans under a CEV model

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PDE and martingale methods in option pricing.

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Identifiers

zbMATH Open document ID

1308.91088

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DOI

10.1016/j.cam.2015.01.038

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:2018495

@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment with unobservable claim size and intensity
+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 @@
+Dynamic mean-variance problem with constrained risk control for the insurers
+Normal rank
@@ Property / cites work @@
+Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
+Normal rank
@@ Property / cites work @@
+A theory of Markovian time-inconsistent stochastic control in discrete time
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
+Normal rank
@@ Property / cites work @@
+Advances in Neural Networks – ISNN 2005
@@ Property / cites work: Advances in Neural Networks – ISNN 2005 / rank @@
+Normal rank
@@ Property / cites work @@
+A new image thresholding method based on Gaussian mixture model
+Normal rank
@@ Property / cites work @@
+Stock Price Distributions with Stochastic Volatility: An Analytic Approach
+Normal rank
@@ Property / cites work @@
+A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
+Normal rank
@@ Property / cites work @@
+Constant elasticity of variance model for proportional reinsurance and investment strategies
+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 control of excess-of-loss reinsurance and investment for insurers under a CEV model
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
+Normal rank
@@ Property / cites work @@
+Optimal joint survival reinsurance: an efficient frontier approach
+Normal rank
@@ Property / cites work @@
+Optimal combination of quota-share and stop-loss reinsurance treaties under the joint survival probability
+Normal rank
@@ Property / cites work @@
+Stochastic Pareto-optimal reinsurance policies
@@ Property / cites work: Stochastic Pareto-optimal reinsurance policies / rank @@
+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 @@
+Optimal portfolios for DC pension plans under a CEV model
+Normal rank
@@ Property / cites work @@
+PDE and martingale methods in option pricing.
@@ Property / cites work: PDE and martingale methods in option pricing. / rank @@
+Normal rank