Optimal investment and consumption for an insurer with high-watermark performance fee
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Publication:1665626
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Cites work
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- scientific article; zbMATH DE number 14969 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
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- Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- Optimal dividend control for a generalized risk model with investment incomes and debit interest
- Optimal dynamic asset allocation strategy for ELA scheme of DC pension plan during the distribution phase
- Optimal investment and consumption models with non-linear stock dynamics
- Optimal investment and consumption with transaction costs
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment with high-watermark performance fee
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Selection with Transaction Costs
- Portfolio optimisation with strictly positive transaction costs and impulse control
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- Portfolio selection with transactions costs
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