On optimal proportional reinsurance and investment in a Markovian regime-switching economy
From MaRDI portal
Publication:1943015
DOI10.1007/s10114-012-9761-7zbMath1258.91115MaRDI QIDQ1943015
Publication date: 14 March 2013
Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10114-012-9761-7
91B54: Special types of economic markets (including Cournot, Bertrand)
Related Items
The maximum principles for partially observed risk-sensitive optimal controls of Markov regime-switching jump-diffusion system, Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model, Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment, Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling, Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching, Optimal reinsurance and investment with unobservable claim size and intensity, Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model, On the expected discounted penalty function for a Markov regime-switching insurance risk model with stochastic premium income, Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach, Optimal reinsurance and investment strategy with delay in Heston's SV model, Optimal investment-reinsurance policy with stochastic interest and inflation rates, Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models, Optimal investment and dividend for an insurer under a Markov regime switching market with high gain tax, Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process, Optimal reinsurance and investment problem for an insurer with counterparty risk, Constrained investment-reinsurance optimization with regime switching under variance premium principle, Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach, Optimal reinsurance and investment strategy with two piece utility function, Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On the probability of ruin in a Markov-modulated risk model
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- A second-order Markov-modulated fluid queue with linear service rate
- Risk theory in a Markovian environment
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Portfolio Optimization With Markov-Modulated Stock Prices and Interest Rates
- Optimal combinational quota‐share and excess‐of‐loss reinsurance policies in a dynamic setting
- Markov-modulated diffusion risk models
- Betting Systems Which Minimize the Probability of Ruin
- Optimal Dividends
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
