Derivatives trading for insurers (Q1757608)

From MaRDI portal

Revision as of 22:21, 26 August 2024 by Daniel (talk | contribs) (‎Created claim: Wikidata QID (P12): Q128958373, #quickstatements; #temporary_batch_1724706784888)

(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)

Jump to:navigation, search

scientific article

Language	Label	Description	Also known as
English	Derivatives trading for insurers	scientific article

Statements

scholarly article

0 references

Derivatives trading for insurers (English)

0 references

0 references

0 references

0 references

Insurance Mathematics \& Economics

0 references

publication date

15 January 2019

0 references

zbMATH Keywords

derivatives trading

0 references

HJB equations

0 references

investment-reinsurance

0 references

stochastic control

0 references

stochastic volatility

0 references

MaRDI profile type

MaRDI publication profile

0 references

full work available at URL

https://doi.org/10.1016/j.insmatheco.2018.11.001

0 references

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

0 references

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

0 references

Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

0 references

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

0 references

Benchmark and mean-variance problems for insurers

0 references

Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

0 references

Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation

0 references

Optimal investment in derivative securities

0 references

Constrained investment-reinsurance optimization with regime switching under variance premium principle

0 references

Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers

0 references

A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control

0 references

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

0 references

0 references

Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

0 references

Constant elasticity of variance model for proportional reinsurance and investment strategies

0 references

Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs

0 references

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

0 references

Optimal investment for insurers

0 references

Optimal Dynamic XL Reinsurance

0 references

Optimal control of risk exposure, reinsurance and investments for insurance portfolios

0 references

Controlling Risk Exposure and Dividends Payout Schemes:Insurance Company Example

0 references

The dynamics of stochastic volatility: evidence from underlying and options markets

0 references

Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion

0 references

Alpha-robust mean-variance reinsurance-investment strategy

0 references

Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility

0 references

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

0 references

Optimal reinsurance and investment with unobservable claim size and intensity

0 references

Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information

0 references

Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

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

Envelope Theorems for Arbitrary Choice Sets

0 references

Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff

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

Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process

0 references

Stock Price Distributions with Stochastic Volatility: An Analytic Approach

0 references

Optimal dynamic reinsurance policies for large insurance portfolios

0 references

Optimal risk and dividend control for a company with a debt liability

0 references

Optimal investment and reinsurance for an insurer under Markov-modulated financial market

0 references

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

0 references

Optimal time-consistent investment and reinsurance policies for mean-variance insurers

0 references

Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

0 references

Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers

0 references

Optimal investment and reinsurance of an insurer with model uncertainty

0 references

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

0 references

Optimal reinsurance and investment problem for an insurer with counterparty risk

0 references

Identifiers

zbMATH Open document ID

0 references

10.1016/j.insmatheco.2018.11.001

0 references

Mathematics Subject Classification ID

0 references

0 references

0 references

0 references

zbMATH DE Number

0 references

0 references

0 references

Sitelinks

Mathematics(1 entry)

mardi Publication:1757608

Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q1757608&oldid=37632452"