Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model

DOI10.1016/j.cam.2018.03.035zbMath1422.91320OpenAlexW2800437156WikidataQ129899900 ScholiaQ129899900MaRDI QIDQ1639554

Yi Shao, Yongzeng Lai, Chun-Xiang A

Publication date: 13 June 2018

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2018.03.035

zbMATH Keywords

excess-of-loss reinsurancestochastic optimal controlconstant elasticity of variance modelstochastic differential delay equation

Mathematics Subject Classification ID

Related Items (23)

Optimal investment-reinsurance strategy in the correlated insurance and financial markets ⋮ Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay ⋮ Optimal investment strategy for a family with a random household expenditure under the CEV model ⋮ Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks ⋮ The optimal investment problem with inflation and liquidity risk ⋮ Optimal portfolio and reinsurance with two differential risky assets ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps ⋮ Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model ⋮ Stochastic differential reinsurance and investment games with delay under VaR constraints⋆ ⋮ A hybrid reinsurance-investment game with delay and asymmetric information ⋮ Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps ⋮ A Stackelberg reinsurance-investment game with derivatives trading ⋮ Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model ⋮ Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ A hybrid stochastic differential reinsurance and investment game with bounded memory ⋮ Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model ⋮ A non-zero-sum reinsurance-investment game with delay and asymmetric information ⋮ Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks ⋮ A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market ⋮ A Stackelberg reinsurance–investment game with asymmetric information and delay ⋮ Dynamic asset-liability management problem in a continuous-time model with delay

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