Optimal investment, consumption and proportional reinsurance under model uncertainty

DOI10.1016/J.INSMATHECO.2014.09.013zbMath1306.91131OpenAlexW2083857866MaRDI QIDQ2514622

Fenge Chen, Hu, Yijun, Xing-Chun Peng

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.09.013

zbMATH Keywords

Malliavin calculusstochastic maximum principlemodel uncertaintyinvestmentconsumptionreinsurance

Mathematics Subject Classification ID

Differential games (aspects of game theory) (91A23) Applications of game theory (91A80) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

Related Items (6)

Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Unnamed Item ⋮ Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance ⋮ Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach ⋮ Exponential utility maximization for an insurer with time-inconsistent preferences

Cites Work

• Exponential utility maximization in an incomplete market with defaults
• Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
• Optimal investment and reinsurance of an insurer with model uncertainty
• Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• On reinsurance and investment for large insurance portfolios
• Dynamic mean-variance problem with constrained risk control for the insurers
• Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
• On minimizing the ruin probability by investment and reinsurance
• Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
• Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• Optimal proportional reinsurance and investment under partial information
• Portfolio optimization under model uncertainty and BSDE games
• Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
• The Malliavin Calculus and Related Topics
• Optimal portfolio, partial information and Malliavin calculus
• Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
• Backward Stochastic Differential Equations in Finance
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
• A discussion of parameter and model uncertainty in insurance

This page was built for publication: Optimal investment, consumption and proportional reinsurance under model uncertainty