Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

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A theory of the term structure of interest rates
Complete Models with Stochastic Volatility
Constant elasticity of variance model for proportional reinsurance and investment strategies
scientific article; zbMATH DE number 3671542 (Why is no real title available?)
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On maximizing the expected terminal utility by investment and reinsurance
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
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Optimal investment for an insurer with exponential utility preference
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Optimal investment for insurer with jump-diffusion risk process
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Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
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Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
Stock price distributions with stochastic volatility: an analytic approach

Cited in

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Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
Non-zero-sum stochastic differential reinsurance and investment games with default risk
Optimal dividend and capital injection strategy with excess-of-loss reinsurance and transaction costs
Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions
Derivatives trading for insurers
Robust non-zero-sum investment and reinsurance game with default risk
Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework
Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
Robust optimal investment and reinsurance problem for a general insurance company under Heston model
Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
Optimal investment and reinsurance of insurers with lognormal stochastic factor model
Optimal reinsurance-investment problem with dependent risks based on Legendre transform
Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
Optimal reinsurance and investment strategy with delay in Heston's SV model
Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
Management strategies for a defined contribution pension fund under the hybrid stochastic volatility model
Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
Optimal reinsurance and investment problem for an insurer with counterparty risk
Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
Optimal investment problem for an insurer and a reinsurer
Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
Stochastic differential game formulation on the reinsurance and investment problem
Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
Optimal reinsurance and investment problem in a defaultable market
A class of nonzero-sum investment and reinsurance games subject to systematic risks
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
Review of statistical actuarial risk modelling
Optimal investment problem for an open-end fund with dynamic flows
Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
Optimal excess-of-loss reinsurance and investment with stochastic factor process
Optimal investment strategy for a DC pension plan with mispricing under the Heston model
Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
Optimal investment and reinsurance problem with jump-diffusion model
Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
Optimization problem of excess-of-loss reinsurance and investment with delay and mispricing under the jump-diffusion model
Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
Optimal investment strategy for asset-liability management under the Heston model
Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
Optimal reinsurance-investment with loss aversion under rough Heston model
A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
Robust reinsurance and investment strategies under principal-agent framework
Legendre transform dual-asymptotic solution for optimal investment, consumption and life insurance strategy under the HLSV model
The Legendre transform-dual-asymptotic solution for optimal investment strategy with random incomes
Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion
Stochastic differential investment and reinsurance game between an insurer and a reinsurer with delay and default risk under thinning dependence structure
Expected power utility maximization of insurers
Heston model about optimal investment and proportional reinsurance strategies for an insurer
Reinsurance, investment and the rationality with a diffusion model approximating a jump model
Robust reinsurance contract and investment with delay under mean-variance framework
Robust optimal investment and reinsurance strategy under Heston model with the generalized variance premium principle
Time-consistent reinsurance-investment hybrid game with delay and default under jump-diffusion model
Optimal reinsurance-investment problem under mean-variance criterion with n risky assets

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