Constrained investment-reinsurance optimization with regime switching under variance premium principle
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Publication:2374119
DOI10.1016/J.INSMATHECO.2016.09.009zbMATH Open1371.91083OpenAlexW2529011797MaRDI QIDQ2374119FDOQ2374119
Authors: Lv Chen, Yang Shen, Wei Wang, Linyi 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
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Cites Work
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Optimal investment for insurer with jump-diffusion risk process
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- Optimal reinsurance strategies in regime-switching jump diffusion models: stochastic differential game formulation and numerical methods
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- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Benchmark and mean-variance problems for insurers
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- A class of non-zero-sum stochastic differential investment and reinsurance games
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- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- A stochastic differential game for optimal investment of an insurer with regime switching
- Optimal proportional reinsurance with common shock dependence
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
Cited In (18)
- 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
- 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
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