Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models

DOI10.1007/s11425-015-0542-7zbMath1367.60088OpenAlexW3124086616MaRDI QIDQ2360965

Hui Zhao, Chengguo Weng, Yang Shen, Yan Zeng

Publication date: 29 June 2017

Published in: Science China. Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11425-015-0542-7

zbMATH Keywords

mean-variance analysistime-consistent strategyCEV modelinvestment-reinsurance problem

Mathematics Subject Classification ID

Related Items (17)

A characteristic modeling method of error-free compression for nonlinear systems ⋮ Optimal investment-reinsurance strategy in the correlated insurance and financial markets ⋮ Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model ⋮ Optimal investment strategy for a family with a random household expenditure under the CEV model ⋮ Dynamic risk-sharing game and reinsurance contract design ⋮ 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-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer ⋮ Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform ⋮ Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities ⋮ Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks ⋮ 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 ⋮ Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework ⋮ Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk

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