Optimal reinsurance and investment strategy with delay in Heston's SV model
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Publication:2240102
DOI10.1007/S40305-020-00331-8zbMATH Open1488.91088OpenAlexW3137393630MaRDI QIDQ2240102FDOQ2240102
Authors: Chun-Xiang A, Ai-Lin Gu, Yi Shao 
Publication date: 5 November 2021
Published in: Journal of the Operations Research Society of China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s40305-020-00331-8
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proportional reinsuranceHamilton-Jacobi-Bellman (HJB) equationstochastic differential delay equation (SDDE)Heston's stochastic volatility (SV) model
Actuarial mathematics (91G05) Stochastic functional-differential equations (34K50) Optimal stochastic control (93E20)
Cites Work
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Cited In (11)
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal time-consistent investment and reinsurance strategies with default risk and delay under Heston's SV model
- Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
- Optimal investment and reinsurance under Vasicek interest rate and Heston model
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Robust optimal investment problem with delay under Heston's model
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
- Optimal investment and reinsurance problem with delay under the CEV model
- Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model
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