Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model
From MaRDI portal
Publication:2073576
Recommendations
- Optimal investment for an insurer with cointegrated assets: CRRA utility
- Optimal investment for insurers with the extended CIR interest rate model
- scientific article; zbMATH DE number 7745106
- Optimal investment and reinsurance under Vasicek interest rate and Heston model
- Optimal reinsurance and investment strategies under CIR stochastic interest rate model
- scientific article; zbMATH DE number 1304953
- scientific article; zbMATH DE number 2051943
- scientific article; zbMATH DE number 7338528
- Optimal Investment for an Insurer with Multiple Risky Assets Under Mean-Variance Criterion
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
Cites work
- An equilibrium characterization of the term structure
- An optimal portfolio model with stochastic volatility and stochastic interest rate
- Controlled Markov processes and viscosity solutions
- Dynamical analysis and adaptive fuzzy control for the fractional-order financial risk chaotic system
- On maximizing the expected terminal utility by investment and reinsurance
- On minimizing the ruin probability by investment and reinsurance
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Proportional Reinsurance and Ruin Probability
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal investment problem with stochastic interest rate and stochastic volatility: maximizing a power utility
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
- Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
Cited in
(4)- Optimal investment and reinsurance under Vasicek interest rate and Heston model
- Optimal investment-reinsurance policy with stochastic interest and inflation rates
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
- Optimal investment for insurers with the extended CIR interest rate model
This page was built for publication: Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2073576)
