Derivatives trading for insurers (Q1757608): Difference between revisions

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scientific article

Language	Label	Description	Also known as
English	Derivatives trading for insurers	scientific article

Statements

scholarly article

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Derivatives trading for insurers (English)

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Insurance Mathematics \& Economics

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publication date

15 January 2019

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zbMATH Keywords

derivatives trading

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HJB equations

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investment-reinsurance

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stochastic control

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stochastic volatility

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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.insmatheco.2018.11.001

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

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Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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

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

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Benchmark and mean-variance problems for insurers

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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 in derivative securities

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

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Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers

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A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control

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Mean-variance portfolio selection for a non-life insurance company

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

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Constant elasticity of variance model for proportional reinsurance and investment strategies

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Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs

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

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Optimal investment for insurers

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Optimal Dynamic XL Reinsurance

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Optimal control of risk exposure, reinsurance and investments for insurance portfolios

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Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example

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The dynamics of stochastic volatility: evidence from underlying and options markets

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

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Alpha-robust mean-variance reinsurance-investment strategy

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Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility

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

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Optimal reinsurance and investment with unobservable claim size and intensity

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Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information

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Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

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Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model

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Optimal Risk Control for The Excess of Loss Reinsurance Policies

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Envelope Theorems for Arbitrary Choice Sets

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Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff

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

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On minimizing the ruin probability by investment and reinsurance

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

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Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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Optimal dynamic reinsurance policies for large insurance portfolios

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Optimal risk and dividend control for a company with a debt liability

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Optimal investment and reinsurance for an insurer under Markov-modulated financial market

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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

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

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Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

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

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Optimal investment and reinsurance of an insurer with model uncertainty

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

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Optimal reinsurance and investment problem for an insurer with counterparty risk

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Identifiers

zbMATH Open document ID

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10.1016/j.insmatheco.2018.11.001

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Mathematics Subject Classification ID

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zbMATH DE Number

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Sitelinks

Mathematics(1 entry)

mardi Publication:1757608

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