Optimal insurance in a continuous-time model
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Cites work
- Controlled diffusion models for optimal dividend pay-out
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- scientific article; zbMATH DE number 1869272 (Why is no real title available?)
- scientific article; zbMATH DE number 910665 (Why is no real title available?)
- Jump-diffusions with controlled jumps: Existence and numerical methods
- Numerical Methods for an Optimal Investment-Consumption Model
- Optimal proportional reinsurance policies for diffusion models
- Optimum consumption and portfolio rules in a continuous-time model
- Ordering risks: expected utility theory versus Yaari's dual theory of risk
- Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
- Risk Aversion in the Small and in the Large
- Second-Best Insurance Contract Design in an Incomplete Market
Cited in
(48)- Optimal decisions for an insurance contract with experience rating
- Optimal insurance demand under marked point processes shocks.
- Purchasing casualty insurance to avoid lifetime ruin
- Franchise optimization in the static insurance model
- A discrete model for the problem of optimizing the activity of an insurance company
- Insurance demand and welfare-maximizing risk capital -- some hints for the regulator in the case of exponential preferences and exponential claims
- Optimal consumption and investment with insurer default risk
- Optimal investment and consumption decision of a family with life insurance
- Optimal consumption-investment and life-insurance purchase strategy for couples with correlated lifetimes
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Optimal insurance in a changing economy
- Choosing the instant of insurance commencement
- Optimal investment and risk control policies for an insurer: expected utility maximization
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- The optimal insurance strategy in complete market
- Personal non-life insurance decisions and the welfare loss from flat deductibles
- On Merton’s Problem for Life Insurers
- Optimal investment, consumption-leisure, insurance and retirement choice
- Optimal dynamic equilibrium in insurance policies
- Optimal and simple, nearly optimal rules for minimizing the probability of financial ruin in retirement
- Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
- The theory of optimal stochastic control as applied to insurance underwriting cycles
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- Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
- Life insurance purchasing to maximize utility of household consumption
- Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process
- Optimal social welfare policy within financial and life insurance markets
- Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
- Optimal consumption, investment, and insurance under state-dependent risk aversion
- Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
- Legendre transform dual-asymptotic solution for optimal investment, consumption and life insurance strategy under the HLSV model
- Optimal premium policy of an insurance firm: full and partial information
- Optimal insurance demand and investment-consumption choices for individuals confronting uninsured risks
- Optimal investment with insurable background risk and nonlinear portfolio allocation frictions
- The optimal reinsurance strategy with price-competition between two reinsurers
- Bachelier model with stopping time and its insurance application
- Optimal investment and life insurance strategies under minimum and maximum constraints
- An optimal insurance strategy for an individual under an intertemporal equilibrium
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