Constrained investment-reinsurance optimization with regime switching under variance premium principle
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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
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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
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