Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
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Publication:2405932
DOI10.1016/j.spl.2017.03.008zbMath1380.91088OpenAlexW2595041605MaRDI QIDQ2405932
Jie-Ming Zhou, Jun-Yi Guo, Xiang-Qun Yang
Publication date: 28 September 2017
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2017.03.008
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Related Items (9)
Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process ⋮ Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model ⋮ Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Optimal investment strategies for an insurer with liquid constraint ⋮ Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion ⋮ Optimal investment for an insurer under liquid reserves ⋮ Optimal investment and risk control policies for an insurer in an incomplete market ⋮ Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach ⋮ A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
Cites Work
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- Benchmark and mean-variance problems for insurers
- Optimal investment for insurer with jump-diffusion risk process
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- Optimal investment for an insurer in the Lévy market: the martingale approach
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal investment for an insurer: the martingale approach
- Dynamic mean-variance problem with constrained risk control for the insurers
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
- Optimal investment and proportional reinsurance with constrained control variables
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Financial Modelling with Jump Processes
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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