Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
From MaRDI portal
Publication:2007166
Recommendations
- Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurer under the dependent risk model
- Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
- Optimal time-consistent investment and reinsurance strategies with default risk and delay under Heston's SV model
- Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Optimal investment and reinsurance for insurers with uncertain time-horizon
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
Cites work
- A stochastic control problem with delay arising in a pension fund model
- A stochastic portfolio optimization model with bounded memory
- Aspects of risk theory
- Benchmark and mean-variance problems for insurers
- On time-inconsistent stochastic control in continuous time
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Optimal investment for an insurer: the martingale approach
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers
- Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Optimal mean-variance reinsurance with common shock dependence
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal proportional reinsurance with common shock dependence
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Some Solvable Stochastic Control Problems With Delay
Cited in
(8)- Precommitted investment strategy versus time-consistent investment strategy for a dual risk model
- Time-consistent optimal reinsurance-investment strategy selection for Poisson-Geometric model
- Optimal time-consistent investment and reinsurance strategies with default risk and delay under Heston's SV model
- Optimal investment strategy for risk model of delayed claims
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurer under the dependent risk model
- Optimal reinsurance and investment under \(n\) dependent insurance businesses
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- Optimal mean-variance reinsurance with delay and multiple classes of dependent risks
This page was built for publication: Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2007166)
