Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion

From MaRDI portal
Publication:2445993

DOI10.1016/j.insmatheco.2013.03.008zbMath1284.91249OpenAlexW2050477100MaRDI QIDQ2445993

Yongwu Li, Zhong-Fei Li

Publication date: 15 April 2014

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.03.008



Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).


Related Items (42)

Optimal investment and reinsurance of insurers with lognormal stochastic factor modelTime-consistent mean-variance reinsurance-investment in a jump-diffusion financial marketTime-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV modelsPrecommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion modelOptimal insurance strategy design in a risk process under value-at-risk constraints on capital incrementsTime-consistent mean-variance portfolio optimization: a numerical impulse control approachNon-exponential discounting portfolio management with habit formationOptimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable marketOptimal excess-of-loss reinsurance and investment with stochastic factor processOptimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV modelA characterization of equilibrium strategies in continuous-time mean-variance problems for insurersAlpha-robust mean-variance reinsurance-investment strategyOptimal investment problem between two insurers with value-added serviceOptimal deterministic reinsurance and investment for an insurer under mean–variance criterionOPTIMAL TIME-CONSISTENT PORTFOLIO AND CONTRIBUTION SELECTION FOR DEFINED BENEFIT PENSION SCHEMES UNDER MEAN–VARIANCE CRITERIONMean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary processOpen-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraintsRisk process with a periodic reinsurance: choosing an optimal reinsurance strategy of a total riskOptimal reinsurance–investment policies for insurers with mispricing under mean-variance criterionConditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumpsEquilibrium behavioral strategy for a DC pension plan with piecewise linear state-dependent risk toleranceTime-consistent investment strategy under partial informationOptimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocksRobust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumpsOptimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated marketsTime-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation riskRobust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterionEquilibrium controls in time inconsistent stochastic linear quadratic problemsPRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATIONDerivatives trading for insurersTime-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV modelEquilibrium time-consistent strategy for corporate international investment problem with mean-variance criterionEquilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatilityA regular equilibrium solves the extended HJB systemOn time-inconsistent stopping problems and mixed strategy stopping timesEquilibrium reinsurance-investment strategies with partial information and common shock dependenceOn the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment StrategiesTime-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance applicationRobust optimal reinsurance-investment strategy with price jumps and correlated claimsOptimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV modelOptimal investment problem for an insurer and a reinsurerOptimal insurance strategy in a risk process under a safety level imposed on the increments of the process



Cites Work


This page was built for publication: Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion