Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
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- Dynamic mean-variance portfolio selection in market with jump-diffusion models
- Dynamic mean-variance problem with constrained risk control for the insurers
- scientific article; zbMATH DE number 1325009 (Why is no real title available?)
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- THE BLACK-SCHOLES EQUATION REVISITED: ASYMPTOTIC EXPANSIONS AND SINGULAR PERTURBATIONS
- The pricing of options and corporate liabilities
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- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- Time-inconsistent stochastic linear-quadratic control
Cited in
(30)- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- Robust PID controller design of second-order uncertain nonlinear time-varying delay system
- A characteristic modeling method of error-free compression for nonlinear systems
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Dynamic risk-sharing game and reinsurance contract design
- Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
- Optimal investment strategy for a family with a random household expenditure under the CEV model
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
- Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- Stackelberg stochastic differential game of insurer and reinsurer under mean-variance framework
- Optimal investment and reinsurance for an insurer with constraints and ambiguous correlation
- Time-consistent reinsurance-investment strategies for insurer and reinsurer under jump-diffusion and volatility risks
- Stochastic differential games on investment, consumption and proportional reinsurance under the CEV model
- Optimal time-consistent mean-variance reinsurance investment strategies for insurers under the Heston-Hawkes SV model
- Time-consistent investment and reinsurance strategies under thinning-dependence structure
- Robust optimal reinsurance and investment strategy for an insurer and a reinsurer with default risks and jumps
- Optimal reinsurance-investment problem with default risk for an insurer under the constant elasticity of variance model
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
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