Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework (Q6096581): Difference between revisions

Latest revision as of 21:59, 2 August 2024

scientific article; zbMATH DE number 7737888

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English	Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework	scientific article; zbMATH DE number 7737888

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instance of

scholarly article

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title

Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework (English)

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European Journal of Operational Research

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publication date

15 September 2023

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zbMATH Keywords

stochastic processes

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thinning-dependence

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delay factors

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extended Hamilton-Jacobi-Bellman (HJB) delay system

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time-consistent strategy

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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.ejor.2023.05.023

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cites work

Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model

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A Maximum Principle for Infinite Horizon Delay Equations

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Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

0 references

Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes

0 references

A hybrid stochastic differential reinsurance and investment game with bounded memory

0 references

Benchmark and mean-variance problems for insurers

0 references

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

0 references

CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION

0 references

On time-inconsistent stochastic control in continuous time

0 references

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

0 references

Optimal reinsurance and investment in a diffusion model

0 references

Optimal reinsurance with positively dependent risks

0 references

Optimal reinsurance and investment under common shock dependence between financial and actuarial markets

0 references

A Stochastic Portfolio Optimization Model with Bounded Memory

0 references

Constrained investment-reinsurance optimization with regime switching under variance premium principle

0 references

Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework

0 references

Optimal reinsurance and dividends with transaction costs and taxes under thinning structure

0 references

Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle

0 references

Optimal reinsurance and investment problem with default risk and bounded memory

0 references

A stochastic control problem with delay arising in a pension fund model

0 references

Dynamic mean-variance portfolio selection with borrowing constraint

0 references

Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time

0 references

Aspects of risk theory

0 references

Robust optimal reinsurance and investment strategies for an AAI with multiple risks

0 references

Optimal per-loss reinsurance and investment to minimize the probability of drawdown

0 references

Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure

0 references

Optimal non-proportional reinsurance control

0 references

Q4002114

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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

0 references

Stackelberg differential game for reinsurance: mean-variance framework and random horizon

0 references

Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

0 references

Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market

0 references

On a reduced form credit risk model with common shock and regime switching

0 references

Minimizing the probability of ruin: optimal per-loss reinsurance

0 references

Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence

0 references

OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE

0 references

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

0 references

Q4435813

0 references

Robust time-inconsistent stochastic control problems

0 references

Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance

0 references

Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach

0 references

Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs

0 references

Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game

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Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market

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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

0 references

Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion

0 references

Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps

0 references

Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

0 references

Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

0 references

Continuous-time mean-variance portfolio selection: a stochastic LQ framework

0 references

Identifiers

DOI

10.1016/j.ejor.2023.05.023

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6096581

@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.ejor.2023.05.023
+Normal rank
@@ Property / OpenAlex ID @@
+W4376879159
@@ Property / OpenAlex ID: W4376879159 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
+Normal rank
@@ Property / cites work @@
+A Maximum Principle for Infinite Horizon Delay Equations
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
+Normal rank
@@ Property / cites work @@
+Optimal excess-of-loss reinsurance and dividend payments with both transaction costs and taxes
+Normal rank
@@ Property / cites work @@
+A hybrid stochastic differential reinsurance and investment game with bounded memory
+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 @@
+CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
+Normal rank
@@ Property / cites work @@
+On time-inconsistent stochastic control in continuous time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment in a diffusion model
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance with positively dependent risks
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
+Normal rank
@@ Property / cites work @@
+A Stochastic Portfolio Optimization Model with Bounded Memory
+Normal rank
@@ Property / cites work @@
+Constrained investment-reinsurance optimization with regime switching under variance premium principle
+Normal rank
@@ Property / cites work @@
+Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and dividends with transaction costs and taxes under thinning structure
+Normal rank
@@ Property / cites work @@
+Optimal Reinsurance Under the Risk-Adjusted Value of an Insurer’s Liability and an Economic Reinsurance Premium Principle
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment problem with default risk and bounded memory
+Normal rank
@@ Property / cites work @@
+A stochastic control problem with delay arising in a pension fund model
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance portfolio selection with borrowing constraint
+Normal rank
@@ Property / cites work @@
+Dynamic mean-risk portfolio selection with multiple risk measures in continuous-time
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimal reinsurance and investment strategies for an AAI with multiple risks
+Normal rank
@@ Property / cites work @@
+Optimal per-loss reinsurance and investment to minimize the probability of drawdown
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
+Normal rank
@@ Property / cites work @@
+Optimal non-proportional reinsurance control
@@ Property / cites work: Optimal non-proportional reinsurance control / rank @@
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Stackelberg differential game for reinsurance: mean-variance framework and random horizon
+Normal rank
@@ Property / cites work @@
+Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market
+Normal rank
@@ Property / cites work @@
+On a reduced form credit risk model with common shock and regime switching
+Normal rank
@@ Property / cites work @@
+Minimizing the probability of ruin: optimal per-loss reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
+Normal rank
@@ Property / cites work @@
+OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Q4435813
@@ Property / cites work: Q4435813 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust time-inconsistent stochastic control problems
+Normal rank
@@ Property / cites work @@
+Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs
+Normal rank
@@ Property / cites work @@
+Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
+Normal rank
@@ Property / cites work @@
+Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
+Normal rank
@@ Property / cites work @@
+Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
+Normal rank
@@ Property / cites work @@
+Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank