Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

DOI10.1016/j.cam.2015.01.038zbMath1308.91088OpenAlexW2018013364MaRDI QIDQ2018495

Danping Li, Xi-Min Rong, Hui Zhao

Publication date: 24 March 2015

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2015.01.038

zbMATH Keywords

mean-variance criteriontime-consistent strategyreinsurance and investmentconstant elasticity of variance (CEV) modelinsurer and reinsurer

Mathematics Subject Classification ID

Related Items (35)

Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models ⋮ Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market ⋮ Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer ⋮ Time-consistent mean-variance portfolio optimization: a numerical impulse control approach ⋮ Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions ⋮ Risk minimization for an insurer with investment and reinsurance via g-expectation ⋮ Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints ⋮ Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model ⋮ Optimal investment strategy for a family with a random household expenditure under the CEV model ⋮ Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks ⋮ Optimal reinsurance-investment problem with dependent risks based on Legendre transform ⋮ Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model ⋮ Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks ⋮ Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model ⋮ Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion ⋮ A non-zero-sum stochastic differential game between two mean-variance insurers with inside information ⋮ Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer ⋮ Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model ⋮ Nash equilibrium strategy for a DC pension plan with state-dependent risk aversion: a multiperiod mean-variance framework ⋮ Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process ⋮ Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform ⋮ Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market ⋮ The \(CEV\) model and its application to financial markets with volatility uncertainty ⋮ Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities ⋮ Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion ⋮ Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility ⋮ A regular equilibrium solves the extended HJB system ⋮ Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks ⋮ Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure ⋮ 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 ⋮ Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model ⋮ Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk

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