Optimal investment and reinsurance for an insurer under Markov-modulated financial market
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Publication:2397849
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Cites work
- scientific article; zbMATH DE number 3539473 (Why is no real title available?)
- scientific article; zbMATH DE number 1517499 (Why is no real title available?)
- scientific article; zbMATH DE number 3186512 (Why is no real title available?)
- A stochastic control model of investment, production and consumption
- An optimal investment strategy with maximal risk aversion and its ruin probability
- An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
- Aspects of risk theory
- Asymptotic ruin probabilities and optimal investment
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- Cox risk model with variable premium rate and stochastic return on investment
- In the insurance business risky investments are dangerous
- On minimizing the ruin probability by investment and reinsurance
- On reinsurance and investment for large insurance portfolios
- Optimal Consumption-Investment Problems in Incomplete Markets with Stochastic Coefficients
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal investment and reinsurance for jump-diffusion surplus processes
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers
- Optimal investment for investors with state dependent income, and for insurers
- Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
- Optimal portfolio in a continuous-time self-exciting threshold model
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Risk-sensitive control and an optimal investment model.
- Ruin probabilities
- Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints
- The tradeoff between consumption and investment in incomplete financial markets
Cited in
(30)- Banach contraction principle and ruin probabilities in regime-switching models
- The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Optimal Consumption and Insurance: A Continuous-time Markov Chain Approach
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Optimal dividend and risk control policies in the presence of a fixed transaction cost
- Optimal valuation of retailer equity financing based on gambling agreements in centralized supply chain
- Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock
- An optimal investment strategy in a Markov-modulated risk model: maximizing the terminal utility
- General methods for bounding multidimensional ruin probabilities in regime-switching models
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Markowitz's mean-variance optimization with investment and constrained reinsurance
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- HJB equation for optimal control system with random impulses
- Minimizing Ruin Probabilities by Reinsurance and Investment: A Markovian Decision Approach
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Derivatives trading for insurers
- Finite-horizon ruin probabilities in a risk-switching Sparre Andersen model
- Robust non-zero-sum investment and reinsurance game with default risk
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business
- Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
- Study on the model of an insurer's solvency ratio in Markov-modulated Brownian markets
- Finite-horizon general insolvency risk measures in a regime-switching Sparre Andersen model
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- Optimal proportional reinsurance and investment for stochastic factor models
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
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