Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games (Q5877349): Difference between revisions

Latest revision as of 11:31, 31 July 2024

scientific article; zbMATH DE number 7653086

Language	Label	Description	Also known as
English	Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in <i>N</i>-Agent and Mean-Field Games	scientific article; zbMATH DE number 7653086

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scholarly article

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title

Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games (English)

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North American Actuarial Journal

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publication date

10 February 2023

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/10920277.2021.2014891

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cites work

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

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A class of non-zero-sum stochastic differential investment and reinsurance games

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Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence

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On time-inconsistent stochastic control in continuous time

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MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

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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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STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE

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Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model

0 references

Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction

0 references

Time-consistent mean-variance portfolio selection in discrete and continuous time

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

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Non-zero-sum stochastic differential reinsurance and investment games with default risk

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

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On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance

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Optimal proportional reinsurance policies for diffusion models

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Time-consistent investment and reinsurance under relative performance concerns

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N-Player and Mean-Field Games in Itˆo-Diffusion Markets with Competitive or Homophilous Interaction

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Time-Inconsistent Stochastic Linear--Quadratic Control

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Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium

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Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables

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Many-player games of optimal consumption and investment under relative performance criteria

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Mean field and n‐agent games for optimal investment under relative performance criteria

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Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model

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

0 references

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

0 references

Optimal Risk Control for The Excess of Loss Reinsurance Policies

0 references

Robust investment-reinsurance optimization with multiscale stochastic volatility

0 references

Robust non-zero-sum stochastic differential reinsurance game

0 references

A class of nonzero-sum investment and reinsurance games subject to systematic risks

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Continuous time mean variance asset allocation: a time-consistent strategy

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Reinsurance-investment game between two mean-variance insurers under model uncertainty

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Optimal investment for an insurer: the martingale approach

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Optimal investment for insurer with jump-diffusion risk process

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

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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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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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Multi‐period mean variance portfolio selection under incomplete information

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Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer

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Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting

0 references

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

0 references

Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks

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Identifiers

DOI

10.1080/10920277.2021.2014891

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:5877349

@@ Property / cites work @@
+Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
+Normal rank
@@ Property / cites work @@
+A class of non-zero-sum stochastic differential investment and reinsurance games
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
+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 Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
+Normal rank
@@ Property / cites work @@
+Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
+Normal rank
@@ Property / cites work @@
+Excess-of-loss reinsurance for a company with debt liability and constraints on risk reduction
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance portfolio selection in discrete and continuous time
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection for a non-life insurance company
+Normal rank
@@ Property / cites work @@
+Non-zero-sum stochastic differential reinsurance and investment games with default risk
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
+Normal rank
@@ Property / cites work @@
+On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance policies for diffusion models
+Normal rank
@@ Property / cites work @@
+Time-consistent investment and reinsurance under relative performance concerns
+Normal rank
@@ Property / cites work @@
+N-Player and Mean-Field Games in Itˆo-Diffusion Markets with Competitive or Homophilous Interaction
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear--Quadratic Control
+Normal rank
@@ Property / cites work @@
+Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
+Normal rank
@@ Property / cites work @@
+Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
+Normal rank
@@ Property / cites work @@
+Many-player games of optimal consumption and investment under relative performance criteria
+Normal rank
@@ Property / cites work @@
+Mean field and <i>n</i>‐agent games for optimal investment under relative performance criteria
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
+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 Risk Control for The Excess of Loss Reinsurance Policies
+Normal rank
@@ Property / cites work @@
+Robust investment-reinsurance optimization with multiscale stochastic volatility
+Normal rank
@@ Property / cites work @@
+Robust non-zero-sum stochastic differential reinsurance game
+Normal rank
@@ Property / cites work @@
+A class of nonzero-sum investment and reinsurance games subject to systematic risks
+Normal rank
@@ Property / cites work @@
+Continuous time mean variance asset allocation: a time-consistent strategy
+Normal rank
@@ Property / cites work @@
+Reinsurance-investment game between two mean-variance insurers under model uncertainty
+Normal rank
@@ Property / cites work @@
+Optimal investment for an insurer: the martingale approach
+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 @@
+Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
+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 @@
+Multi‐period mean variance portfolio selection under incomplete information
+Normal rank
@@ Property / cites work @@
+Optimal quota-share reinsurance based on the mutual benefit of insurer and reinsurer
+Normal rank
@@ Property / cites work @@
+Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank
@@ Property / cites work @@
+Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
+Normal rank

Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in <i>N</i>-Agent and Mean-Field Games (Q5877349): Difference between revisions

Latest revision as of 11:31, 31 July 2024

Statements

Identifiers

Sitelinks

Mathematics(1 entry)