Optimal investment and reinsurance for an insurer under Markov-modulated financial market
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Cited in
(33)- Banach contraction principle and ruin probabilities in regime-switching models
- Derivatives trading for insurers
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- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Optimal valuation of retailer equity financing based on gambling agreements in centralized supply chain
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
- Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
- Optimal dividend and risk control policies in the presence of a fixed transaction cost
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