Optimal proportional reinsurance and investment under partial information

DOI10.1016/j.insmatheco.2013.07.004zbMath1304.91127OpenAlexW2049124150MaRDI QIDQ2513598

Xing-Chun Peng, Hu, Yijun

Publication date: 28 January 2015

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.07.004

zbMATH Keywords

portfolioMalliavin calculuspartial informationreinsurance

Mathematics Subject Classification ID

Related Items (18)

DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION ⋮ Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment ⋮ Optimal investment and risk control for an insurer under inside information ⋮ Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ Optimal deterministic reinsurance and investment for an insurer under mean–variance criterion ⋮ A general linear quadratic stochastic control and information value ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ A hybrid reinsurance-investment game with delay and asymmetric information ⋮ Optimal investment problem with delay under partial information ⋮ Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift ⋮ Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information ⋮ Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff ⋮ Optimal investment, consumption and proportional reinsurance under model uncertainty ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence ⋮ Optimal investment and risk control policies for an insurer in an incomplete market ⋮ Mean-variance asset–liability management with partial information and uncertain time horizon ⋮ Optimal reinsurance and investment problem for an insurer with counterparty risk

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