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 (41)

Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
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
Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market
Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
The \(CEV\) model and its application to financial markets with volatility uncertainty
Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
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
Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
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
Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions
Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
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
Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
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
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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
Optimal reinsurance-investment problem with dependent risks based on Legendre transform
Robust reinsurance and investment strategies under principal-agent framework
Risk minimization for an insurer with investment and reinsurance via g-expectation
Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer

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