Constrained investment-reinsurance optimization with regime switching under variance premium principle
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Cites work
- scientific article; zbMATH DE number 3747561 (Why is no real title available?)
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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- Benchmark and mean-variance problems for insurers
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- Dynamic mean-variance problem with constrained risk control for the insurers
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- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Optimal proportional reinsurance with common shock dependence
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
- Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
Cited in
(18)- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Optimal investment-reinsurance policy with regime switching and value-at-risk constraint
- Derivatives trading for insurers
- Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment
- An efficient algorithm for pricing reinsurance contract under the regime-switching model
- A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints
- Optimal portfolio and reinsurance with two differential risky assets
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- Optimal investment and reinsurance with premium control
- A two-layer stochastic game approach to reinsurance contracting and competition
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Optimal portfolio strategy of wealth process: a Lévy process model-based method
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
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