Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
DOI10.1007/S00186-018-00657-3zbMATH Open1429.62459OpenAlexW2910256560WikidataQ128579765 ScholiaQ128579765MaRDI QIDQ2274152FDOQ2274152
Authors: Zhibin Liang, Junna Bi, Kam Chuen Yuen 
Publication date: 19 September 2019
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-018-00657-3
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regime-switchingstochastic controlmean-variance criterionefficient frontiercommon shockoptimal investment-reinsurance strategy
Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Optimal stochastic control (93E20)
Cites Work
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Cited In (11)
- Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Optimal dividends and reinsurance with capital injection under thinning dependence
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
- Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Optimal reinsurance-investment problem for two competitive or cooperative insurers under two investment patterns
- Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
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