Optimal investment-reinsurance policy with stochastic interest and inflation rates
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Publication:2298524
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
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- A BSDE approach to a risk-based optimal investment of an insurer
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- Aspects of risk theory
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- 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
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- 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 and investment strategies for insurer under interest rate and inflation risks
- Optimal reinsurance and investment strategies under CIR stochastic interest rate model
- 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
- An optimal portfolio problem of DC pension with input-delay and jump-diffusion process
- scientific article; zbMATH DE number 7745106 (Why is no real title available?)
- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
- Optimal investment for insurers with the extended CIR interest rate model
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