Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk (Q495442): Difference between revisions

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English	Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk	scientific article

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scholarly article

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title

Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk (English)

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Insurance Mathematics \& Economics

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publication date

14 September 2015

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zbMATH Keywords

reinsurance and investment

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mean-variance criterion

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time-consistent strategy

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stochastic interest rate

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stochastic inflation index

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stochastic control

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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.2015.05.003

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cites work

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 management under stochastic interest rates: the case of a protected defined contribution pension fund

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

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

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Q4032143

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Aspects of risk theory

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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 reinsurance and investment strategies for insurer under interest rate and inflation risks

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Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns

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Optimal asset allocation for DC pension plans under inflation

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Optimal investment for insurers

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Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates

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A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates

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

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Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility

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Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies

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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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Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model

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

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OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL

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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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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 management and inflation protection for defined contribution pension plans

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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

1348.91161

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DOI

10.1016/j.insmatheco.2015.05.003

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:495442

@@ Property / cites work @@
+Dynamic mean-variance problem with constrained risk control for the insurers
+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 management under stochastic interest rates: the case of a protected defined contribution pension fund
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection for a non-life insurance company
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+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 @@
+Constant elasticity of variance model for proportional reinsurance and investment strategies
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
+Normal rank
@@ Property / cites work @@
+Mean-variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns
+Normal rank
@@ Property / cites work @@
+Optimal asset allocation for DC pension plans under inflation
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates
+Normal rank
@@ Property / cites work @@
+A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
+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 @@
+Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility
+Normal rank
@@ Property / cites work @@
+Upper bounds for ruin probabilities under stochastic interest rate and optimal investment strategies
+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 reinsurance and investment with unobservable claim size and intensity
+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 Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
+Normal rank
@@ Property / cites work @@
+Optimal management and inflation protection for defined contribution pension plans
+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 @@
+Optimal reinsurance and investment problem for an insurer with counterparty risk
+Normal rank