Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
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Cited in
(31)- 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
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- Self-protection and insurance demand under time-inconsistent mean-variance framework
- Optimal investment and per-loss reinsurance strategies under a dynamic contagion claims process
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