Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
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Cited in
(53)- Optimal investment problem with multiple risky assets and correlation between risk model and financial market for an insurer under the CEV model
- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Equilibrium investment strategy with learning about equity return
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework
- A regular equilibrium solves the extended HJB system
- Constant elasticity of variance model for proportional reinsurance and investment strategies
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- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Robust optimal reinsurance and investment strategy for an insurer and a reinsurer with default risks and jumps
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Proportional reinsurance and investment based on the Ornstein-Uhlenbeck process in the presence of two reinsurers
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- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
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- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Equilibrium contribution rate and asset allocation of DB pension plan under the CEV model
- Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
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- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
- Time-consistent investment and reinsurance strategies under thinning-dependence structure
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- 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
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- scientific article; zbMATH DE number 7338528 (Why is no real title available?)
- Optimal reinsurance-investment problem with dependent risks based on Legendre transform
- Risk minimization for an insurer with investment and reinsurance via g-expectation
- Robust reinsurance and investment strategies under principal-agent framework
- Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
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