OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET (Q5369449): Difference between revisions

Latest revision as of 14:29, 14 July 2024

scientific article; zbMATH DE number 6792314

Language	Label	Description	Also known as
English	OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET	scientific article; zbMATH DE number 6792314

Statements

instance of

scholarly article

0 references

title

OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET (English)

0 references

zbMATH Open document ID

1376.91101

0 references

DOI

10.1017/S1446181115000280

0 references

0 references

0 references

0 references

0 references

0 references

0 references

17 October 2017

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

jump-diffusion risk model

0 references

optimal investment strategy

0 references

proportional reinsurance

0 references

exponential utility

0 references

Hamilton-Jacobi-Bellman equation

0 references

MaRDI profile type

MaRDI publication profile

0 references

cites work

Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

0 references

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

0 references

Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

0 references

Martingale Analysis for Assets with Discontinuous Returns

0 references

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

0 references

Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

0 references

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

0 references

Optimal investment-reinsurance policy for an insurance company with VaR constraint

0 references

Q4032143

0 references

Constant elasticity of variance model for proportional reinsurance and investment strategies

0 references

Optimal portfolio selection when stock prices follow an jump-diffusion process

0 references

Optimal investment for insurers

0 references

Optimal portfolio for a small investor in a market model with discontinuous prices

0 references

Optimal investment and proportional reinsurance with constrained control variables

0 references

OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL

0 references

Optimal Investment for an Insurer to Minimize Its Probability of Ruin

0 references

On reinsurance and investment for large insurance portfolios

0 references

Applied stochastic control of jump diffusions.

0 references

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

0 references

Q4230625

0 references

Optimal Proportional Reinsurance Policies in a Dynamic Setting

0 references

On minimizing the ruin probability by investment and reinsurance

0 references

Optimal investment for an insurer with exponential utility preference

0 references

On maximizing the expected terminal utility by investment and reinsurance

0 references

Optimal investment for insurer with jump-diffusion risk process

0 references

Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market

0 references

Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:5369449

@@ Property / cites work @@
+Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
+Normal rank
@@ Property / cites work @@
+Martingale Analysis for Assets with Discontinuous Returns
+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 @@
+Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance policy for an insurance company with VaR constraint
+Normal rank
@@ Property / cites work @@
+Q4032143
@@ Property / cites work: Q4032143 / rank @@
+Normal rank
@@ Property / cites work @@
+Constant elasticity of variance model for proportional reinsurance and investment strategies
+Normal rank
@@ Property / cites work @@
+Optimal portfolio selection when stock prices follow an jump-diffusion process
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurers
@@ Property / cites work: Optimal investment for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolio for a small investor in a market model with discontinuous prices
+Normal rank
@@ Property / cites work @@
+Optimal investment and proportional reinsurance with constrained control variables
+Normal rank
@@ Property / cites work @@
+OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL
+Normal rank
@@ Property / cites work @@
+Optimal Investment for an Insurer to Minimize Its Probability of Ruin
+Normal rank
@@ Property / cites work @@
+On reinsurance and investment for large insurance portfolios
+Normal rank
@@ Property / cites work @@
+Applied stochastic control of jump diffusions.
@@ Property / cites work: Applied stochastic control of jump diffusions. / rank @@
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Q4230625
@@ Property / cites work: Q4230625 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal investment for an insurer with exponential utility preference
+Normal rank
@@ Property / cites work @@
+On maximizing the expected terminal utility by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
+Normal rank