Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
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Publication:2444720
DOI10.1016/J.INSMATHECO.2011.09.002zbMATH Open1284.91250OpenAlexW1967453651MaRDI QIDQ2444720FDOQ2444720
Authors: Yan Zeng, Yongzeng Lai, Zhongfei Li 
Publication date: 10 April 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2011.09.002
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stochastic volatilitytime-consistencymean-variance criterioninsurerinvestment and reinsurance strategy
Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70) Optimal stochastic control (93E20)
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Cited In (96)
- Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal investment problem for an insurer and a reinsurer
- Equilibrium strategy for a multi-period weighted mean-variance portfolio selection in a Markov regime-switching market with uncertain time-horizon and a stochastic cash flow
- Optimal reinsurance and investment problem for an insurer with counterparty risk
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- Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston's SV model
- Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
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