Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform (Q1983760): Difference between revisions

Latest revision as of 16:18, 16 December 2024

scientific article

Language	Label	Description	Also known as
English	Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform	scientific article

Statements

instance of

scholarly article

0 references

title

Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform (English)

0 references

0 references

0 references

0 references

0 references

Journal of Industrial and Management Optimization

0 references

publication date

10 September 2021

0 references

zbMATH Keywords

investment

0 references

reinsurance

0 references

HARA utility

0 references

Legendre transform

0 references

Heston's SV model

0 references

MaRDI profile type

Publication

0 references

full work available at URL

https://doi.org/10.3934/jimo.2020062

0 references

cites work

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

0 references

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

0 references

Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform

0 references

Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model

0 references

Q3868650

0 references

Aspects of risk theory

0 references

A stability result for the HARA class with stochastic interest rates.

0 references

Constant elasticity of variance model for proportional reinsurance and investment strategies

0 references

Optimal investment strategies for the HARA utility under the constant elasticity of variance model

0 references

Explicit solutions to an optimal portfolio choice problem with stochastic income

0 references

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

0 references

Robust optimal investment and reinsurance problem for a general insurance company under Heston model

0 references

Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities

0 references

Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

0 references

Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model

0 references

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

0 references

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

0 references

Optimal dynamic reinsurance with dependent risks: variance premium principle

0 references

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

0 references

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

0 references

On minimizing the ruin probability by investment and reinsurance

0 references

Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk

0 references

Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model

0 references

The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts

0 references

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

0 references

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

0 references

Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

0 references

Optimal investment and risk control policies for an insurer: expected utility maximization

0 references

Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models

0 references

Identifiers

zbMATH Open document ID

1476.91136

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1983760

@@ Property / DOI @@
-.3934/jimo.2020062
@@ Property / DOI: 10.3934/jimo.2020062 / rank @@
-Normal rank
@@ Property / DOI @@
+.3934/JIMO.2020062
@@ Property / DOI: 10.3934/JIMO.2020062 / rank @@
+Normal rank