On optimal proportional reinsurance and investment in a Markovian regime-switching economy

DOI10.1007/s10114-012-9761-7zbMath1258.91115OpenAlexW2394706890MaRDI QIDQ1943015

Xin Zhang, Tak Kuen Siu

Publication date: 14 March 2013

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-012-9761-7

zbMATH Keywords

reinsuranceoptimal investmentshort-selling constraintsregime-switching economy

Mathematics Subject Classification ID

Related Items (19)

Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model ⋮ Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling ⋮ Optimal reinsurance and investment strategy with two piece utility function ⋮ Constrained investment-reinsurance optimization with regime switching under variance premium principle ⋮ Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints ⋮ Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model ⋮ Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment ⋮ On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income ⋮ The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching ⋮ Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach ⋮ Optimal reinsurance and investment with unobservable claim size and intensity ⋮ Optimal investment-reinsurance policy with stochastic interest and inflation rates ⋮ Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach ⋮ Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models ⋮ Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax ⋮ Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process ⋮ Optimal reinsurance and investment problem for an insurer with counterparty risk

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