Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
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Cites work
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
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- Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
- Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
- On a correlated aggregate claims model with Poisson and Erlang risk processes.
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- On minimizing the ruin probability by investment and reinsurance
- On the first time of ruin in the bivariate compound Poisson model
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal mean-variance reinsurance with common shock dependence
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Optimal proportional reinsurance with common shock dependence
- Optimal reinsurance and investment with unobservable claim size and intensity
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Recursive methods for a multi-dimensional risk process with common shocks
Cited in
(16)- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Optimal investment and reinsurance strategies for an insurer with regime-switching
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- Optimal mean-variance reinsurance with common shock dependence
- Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock
- Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- 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 dividends and reinsurance with capital injection under thinning dependence
- Optimal reinsurance-investment problem for two competitive or cooperative insurers under two investment patterns
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
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