Contagion modeling between the financial and insurance markets with time changed processes
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Publication:2397853
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Cites work
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- scientific article; zbMATH DE number 3378360 (Why is no real title available?)
- Impact of volatility clustering on equity indexed annuities
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- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
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- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Spectra of some self-exciting and mutually exciting point processes
Cited in
(16)- Household lifetime strategies under a self-contagious market
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- Optimal control of investment, premium and deductible for a non-life insurance company
- Moment generating function of non-Markov self-excited claims processes
- Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
- Optimal investment strategy for an insurer with partial information in capital and insurance markets
- scientific article; zbMATH DE number 5281511 (Why is no real title available?)
- Portfolio allocation in a Lévy-type jump-diffusion model with nonlife insurance risk
- Exploring the asset-liability ratio financial management of small and medium-sized enterprises under dynamic nonlinear system
- The impact of dependencies between climate risks on the asset and liability side of non-life insurers
- ALM for insurers with multiple underwriting lines and portfolio constraints: a Lagrangian duality approach
- Hawkes processes in energy markets: modelling, estimation and derivatives pricing
- Portfolio selection and risk sharing via risk budgeting
- Empirically assessing and modeling spillover effects from operational risk events in the insurance industry
- Optimal dividend policy in an insurance company with contagious arrivals of claims
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