Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
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Publication:2276249
DOI10.1016/J.INSMATHECO.2011.01.008zbMATH Open1218.91068OpenAlexW2059339538MaRDI QIDQ2276249FDOQ2276249
Publication date: 1 August 2011
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.01.008
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Processes with independent increments; Lévy processes (60G51) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10) Optimal stochastic control (93E20)
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Cited In (14)
- ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Nash equilibria for relative investors via no-arbitrage arguments
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading
- Robust optimal investment and reinsurance problems with learning
- Optimal investment and risk control policies for an insurer in an incomplete market
- On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK
- Portfolio strategy of financial market with regime switching driven by geometric Lévy process
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