Constrained investment-reinsurance optimization with regime switching under variance premium principle
From MaRDI portal
Publication:2374119
DOI10.1016/j.insmatheco.2016.09.009zbMath1371.91083OpenAlexW2529011797MaRDI QIDQ2374119
Wei Wang, Lv Chen, Yang Shen, Lin-Yi Qian
Publication date: 14 December 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.09.009
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (8)
ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER ⋮ Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints ⋮ Optimal portfolio and reinsurance with two differential risky assets ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ Stochastic control with inhomogeneous regime switching: application to consumption and investment with unemployment and reemployment ⋮ A simplified stochastic optimization model for logistic dynamics with control-dependent carrying capacity ⋮ Derivatives trading for insurers ⋮ Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
Cites Work
- Unnamed Item
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- A class of non-zero-sum stochastic differential investment and reinsurance games
- Optimal proportional reinsurance with common shock dependence
- Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Benchmark and mean-variance problems for insurers
- Optimal investment for insurer with jump-diffusion risk process
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Dynamic mean-variance problem with constrained risk control for the insurers
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Mean-variance portfolio selection for a non-life insurance company
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- An HMM approach for optimal investment of an insurer
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- A stochastic differential game for optimal investment of an insurer with regime switching
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
This page was built for publication: Constrained investment-reinsurance optimization with regime switching under variance premium principle