Optimal reinsurance and investment strategy with delay in Heston's SV model
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Publication:2240102
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Cites work
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- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
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Cited in
(11)- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model
- 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
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