Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
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Cited in
(30)- Time-consistent longevity hedging with long-range dependence
- Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
- Open-loop equilibrium strategy for mean-variance asset-liability management portfolio selection problem with debt ratio
- Uniqueness of equilibrium strategies in dynamic mean-variance problems with random coefficients
- Open-loop equilibrium strategy for mean-variance portfolio problem under stochastic volatility
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Irreversible reinsurance: a singular control approach
- Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model
- Mean-variance portfolio selection with non-negative state-dependent risk aversion
- Pairs trading under delayed cointegration
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- 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
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Optimal expansion of business opportunity
- 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
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Dynamic asset-liability management with frictions
- 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
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer with delay and default risk under thinning dependence structure
- Mean-variance asset-liability management: from surplus optimization to liability-driven investment
- Mean-variance investment and reinsurance optimization with stochastic interest rate and volatility
- Stochastic differential games for optimal investment and risk control problems in an incomplete market
- Necessary and sufficient conditions for open-loop equilibrium portfolio for a DC pension plan with piecewise linear state-dependent risk tolerance
- Self-protection and insurance demand under time-inconsistent mean-variance framework
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