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

DOI10.1016/J.CAM.2018.03.035MaRDI QIDQ1639554zbMATH OpenOpenAlexWikidataFDO

Authors Yongzeng Lai, Yi Shao, 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

stochastic optimal controlconstant elasticity of variance modelstochastic differential delay equationexcess-of-loss reinsurance

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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Cited in

(31)

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

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