Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
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Publication:2015659
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Cites work
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- scientific article; zbMATH DE number 1834045 (Why is no real title available?)
- scientific article; zbMATH DE number 796445 (Why is no real title available?)
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Cited in
(35)- Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- A reinsurance game between two insurance companies with nonlinear risk processes
- Optimal credit investment and risk control for an insurer with regime-switching
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Convergence of the embedded mean-variance optimal points with discrete sampling
- Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference
- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Derivatives trading for insurers
- Constrained investment-reinsurance optimization with regime switching under variance premium principle
- Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
- Optimal asset-liability management for an insurer under Markov regime switching jump-diffusion market
- Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
- Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- A class of non-zero-sum stochastic differential investment and reinsurance games
- The Markov-modulated mean-variance problem for an insurer
- Optimal reinsurance-investment strategies for insurers under mean-car criteria
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Martingale method for optimal investment and proportional reinsurance
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