Robust optimal reinsurance-investment strategy with price jumps and correlated claims (Q784390): Difference between revisions

@@ 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 @@
+A theory of Markovian time-inconsistent stochastic control in discrete time
+Normal rank
@@ Property / cites work @@
+MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
+Normal rank
@@ Property / cites work @@
+The demand for flood insurance: Empirical evidence
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance problems with extrapolative claim expectation
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance portfolio selection in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+An optimal consumption and investment problem with partial information
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance with a loss-dependent premium principle
+Normal rank
@@ Property / cites work @@
+Q4002114
@@ Property / cites work: Q4002114 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios with stochastic interest rates and defaultable assets.
+Normal rank
@@ Property / cites work @@
+Inconsistent investment and consumption problems
@@ Property / cites work: Inconsistent investment and consumption problems / rank @@
+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 @@
+Alpha-robust mean-variance reinsurance-investment strategy
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
+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 @@
+Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
+Normal rank
@@ Property / cites work @@
+Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+On reinsurance and investment for large insurance portfolios
+Normal rank
@@ Property / cites work @@
+Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
+Normal rank
@@ Property / cites work @@
+Risk minimizing portfolios and HJBI equations for stochastic differential games
+Normal rank
@@ Property / cites work @@
+Q4905685
@@ Property / cites work: Q4905685 / rank @@
+Normal rank
@@ Property / cites work @@
+Q5434181
@@ Property / cites work: Q5434181 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
+Normal rank