Optimal time-consistent investment and reinsurance policies for mean-variance insurers

DOI10.1016/j.insmatheco.2011.01.001zbMath1218.91167OpenAlexW2047892240MaRDI QIDQ2276271

Yan Zeng, Zhong-Fei Li

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.2011.01.001

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinsurermean-variance criteriontime-consistencycontinuous-time investment and reinsurance choice

Mathematics Subject Classification ID

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Cites Work

• Continuous time mean variance asset allocation: a time-consistent strategy
• Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
• Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
• Constant elasticity of variance model for proportional reinsurance and investment strategies
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Benchmark and mean-variance problems for insurers
• Optimal investment for insurer with jump-diffusion risk process
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• Dynamic mean-variance problem with constrained risk control for the insurers
• On maximizing the expected terminal utility by investment and reinsurance
• Aspects of risk theory
• Mean-variance portfolio selection for a non-life insurance company
• On optimal dividends: from reflection to refraction
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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