Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
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Publication:2013623
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Cites work
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Cited in
(24)- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Robust reinsurance contracts with risk constraint
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Randomized observation periods for compound Poisson risk model with capital injection and barrier dividend
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
- Optimal investment and reinsurance problem with jump-diffusion model
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
- Pricing equity-linked life insurance contracts with multiple risk factors by neural networks
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer
- Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
- Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
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