Optimal investment and risk control problems with delay for an insurer in defaultable market
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Publication:2244231
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Cites work
- A pair of optimal reinsurance-investment strategies in the two-sided exit framework
- A stochastic portfolio optimization model with bounded memory
- A stochastic portfolio optimization model with complete memory
- Credit risk: Modelling, valuation and hedging
- Hazard rate for credit risk and hedging defaultable contingent claims
- scientific article; zbMATH DE number 1724298 (Why is no real title available?)
- Markowitz's mean-variance optimization with investment and constrained reinsurance
- Maximum principle for mean-field jump-diffusion stochastic delay differential equations and its application to finance
- Minimizing expected time to reach a given capital level before ruin
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- On maximizing the expected terminal utility by investment and reinsurance
- On minimizing the ruin probability by investment and reinsurance
- On reinsurance and investment for large insurance portfolios
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- Optimal investment and proportional reinsurance with constrained control variables
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Optimal investment for insurer with jump-diffusion risk process
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Optimal reinsurance and investment strategy with two piece utility function
- 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
- Portfolio optimization with a defaultable security
- Stochastic portfolio optimization with default risk
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
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