Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
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Publication:2292185
DOI10.1016/J.INSMATHECO.2019.11.003zbMATH Open1431.91347OpenAlexW2991919355WikidataQ126642926 ScholiaQ126642926MaRDI QIDQ2292185FDOQ2292185
Publication date: 3 February 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.11.003
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mean-variancestochastic volatility modeltime-inconsistencystate-dependent risk aversionopen-loop stochastic controlreinsurance-investment
Cites Work
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Cited In (21)
- Optimal reinsurance-investment with loss aversion under rough Heston model
- 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
- 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
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Mean-variance portfolio selection with non-negative state-dependent risk aversion
- Irreversible reinsurance: a singular control approach
- 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
- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
- 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
- Optimal expansion of business opportunity
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