Optimal time-consistent investment and reinsurance policies for mean-variance insurers
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Publication:2276271
DOI10.1016/J.INSMATHECO.2011.01.001zbMATH Open1218.91167OpenAlexW2047892240MaRDI QIDQ2276271FDOQ2276271
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
Hamilton-Jacobi-Bellman equationtime-consistencymean-variance criterioninsurercontinuous-time investment and reinsurance choice
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Cited In (only showing first 100 items - show all)
- Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal investment problem for an insurer and a reinsurer
- The absolute ruin insurance risk model with a threshold dividend strategy
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Optimal investment and reinsurance for insurers with uncertain time-horizon
- Equilibrium dividend strategy with non-exponential discounting in a dual model
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Worst-case investment and reinsurance optimization for an insurer under model uncertainty
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Optimal investment and reinsurance for an insurer under Markov-modulated financial market
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Optimal reinsurance with both proportional and fixed costs
- Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
- Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Optimal investment policy in the time consistent mean-variance formulation
- Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Equilibrium consumption and portfolio decisions with stochastic discount rate and time-varying utility functions
- Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
- Time-consistent strategies for multi-period portfolio optimization with/without the risk-free asset
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Mean-variance problems for finite horizon semi-Markov decision processes
- Optimal investment, consumption and proportional reinsurance under model uncertainty
- ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Martingale method for optimal investment and proportional reinsurance
- Time-consistent investment strategy under partial information
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Optimal investment strategy for the DC plan with the return of premiums clauses in a mean-variance framework
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- Behavioral mean-risk portfolio selection in continuous time via quantile
- Optimal investment and risk control for an insurer under inside information
- Nash equilibrium strategies for a defined contribution pension management
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Time-consistent strategies for a multiperiod mean-variance portfolio selection problem
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Optimal control of an objective functional with non-linearity between the conditional expectations: solutions to a class of time-inconsistent portfolio problems
- ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION
- Optimal time-consistent portfolio and contribution selection for defined benefit pension schemes under mean-variance criterion
- Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Title not available (Why is that?)
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Alpha-robust mean-variance reinsurance-investment strategy
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
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- On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
- Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Optimal investment and risk control problems with delay for an insurer in defaultable market
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
- Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Title not available (Why is that?)
- Equilibrium investment and risk control for an insurer with non-Markovian regime-switching and no-shorting constraints
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Optimal investment-reinsurance policy with stochastic interest and inflation rates
- Derivatives trading for insurers
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Markowitz's mean-variance optimization with investment and constrained reinsurance
- Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
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