Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information
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Publication:2259244
DOI10.1007/s11464-014-0403-5zbMath1307.91102OpenAlexW2015767045MaRDI QIDQ2259244
Jie Xiong, Shuaiqi Zhang, Hui Zhao, Xihuan Zeng
Publication date: 27 February 2015
Published in: Frontiers of Mathematics in China (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11464-014-0403-5
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Related Items (6)
Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ A non-zero-sum stochastic differential game between two mean-variance insurers with inside information ⋮ Unnamed Item ⋮ Optimal reinsurance-investment and dividends problem with fixed transaction costs ⋮ Mean-field type forward-backward doubly stochastic differential equations and related stochastic differential games
Cites Work
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- Optimal investment for insurer with jump-diffusion risk process
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Controlled Markov processes and viscosity solutions
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
- Optimal investment for insurers
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