Optimal investment and reinsurance for an insurer under Markov-modulated financial market
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Publication:2397849
DOI10.1016/J.INSMATHECO.2017.02.005zbMATH Open1394.91238OpenAlexW2591756540MaRDI QIDQ2397849FDOQ2397849
Authors: Lin Xu, Liming Zhang, Dingjun Yao 
Publication date: 24 May 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2017.02.005
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Cited In (30)
- General methods for bounding multidimensional ruin probabilities in regime-switching models
- Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock
- Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
- Optimal proportional reinsurance and investment for stochastic factor models
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Banach contraction principle and ruin probabilities in regime-switching models
- Derivatives trading for insurers
- Robust non-zero-sum investment and reinsurance game with default risk
- Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
- Markowitz's mean-variance optimization with investment and constrained reinsurance
- HJB equation for optimal control system with random impulses
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
- Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- An optimal investment strategy in a Markov-modulated risk model: maximizing the terminal utility
- Optimal dividend and risk control policies in the presence of a fixed transaction cost
- Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Study on the model of an insurer's solvency ratio in Markov-modulated Brownian markets
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
- Optimal valuation of retailer equity financing based on gambling agreements in centralized supply chain
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