Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
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Publication:2292185
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Cites work
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Cited in
(24)- Optimal expansion of business opportunity
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- Pairs trading under delayed cointegration
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
- Dynamic asset-liability management with frictions
- Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model
- Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
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- Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
- Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Time-consistent longevity hedging with long-range dependence
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
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