Optimal investment-reinsurance policy with stochastic interest and inflation rates
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- scientific article; zbMATH DE number 1200330 (Why is no real title available?)
- A BSDE approach to a risk-based optimal investment of an insurer
- A BSDE approach to optimal investment of an insurer with hidden regime switching
- A BSDE approach to risk-based asset allocation of pension funds with regime switching
- A Bayesian approach for optimal reinsurance and investment in a diffusion model
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- A stochastic differential reinsurance game
- An HMM approach for optimal investment of an insurer
- Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models
- Aspects of risk theory
- Controlled Markov processes and viscosity solutions
- Dynamic mean-variance problem with constrained risk control for the insurers
- Long-term strategic asset allocation with inflation risk and regime switching
- Markowitz's mean-variance defined contribution pension fund management under inflation: a continuous-time model
- Mathematics of financial markets.
- OPTIMAL PORTFOLIOS WITH STOCHASTIC SHORT RATE: PITFALLS WHEN THE SHORT RATE IS NON-GAUSSIAN OR THE MARKET PRICE OF RISK IS UNBOUNDED
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy
- On reinsurance and investment for large insurance portfolios
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal investment for an insurer: the martingale approach
- Optimal investment problem with stochastic interest rate and stochastic volatility: maximizing a power utility
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
- Optimal proportional reinsurance policies for diffusion models
- Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio Selection with Transaction Costs
- Robust non-zero-sum investment and reinsurance game with default risk
Cited in
(8)- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
- Optimal reinsurance and investment strategies under CIR stochastic interest rate model
- scientific article; zbMATH DE number 7745106 (Why is no real title available?)
- Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- Optimal investment for insurers with the extended CIR interest rate model
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
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