Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
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Publication:2015659
DOI10.1016/J.INSMATHECO.2013.10.004zbMATH Open1290.91079OpenAlexW1989854381MaRDI QIDQ2015659FDOQ2015659
Authors: Ping Chen, Sheung Chi Phillip Yam 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.10.004
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geometric Brownian motionmean-varianceproportional reinsuranceefficient frontieroptimal investment-reinsurance
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Cites Work
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Cited In (31)
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference
- Convergence of the embedded mean-variance optimal points with discrete sampling
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Derivatives trading for insurers
- Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
- 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 investment-reinsurance with dynamic risk constraint and regime switching
- ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
- Constrained investment-reinsurance optimization with regime switching under variance premium principle
- Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Martingale method for optimal investment and proportional reinsurance
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy
- Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- The Markov-modulated mean-variance problem for an insurer
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Optimal reinsurance-investment strategies for insurers under mean-car criteria
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