Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
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Publication:2445993
DOI10.1016/J.INSMATHECO.2013.03.008zbMATH Open1284.91249OpenAlexW2050477100MaRDI QIDQ2445993FDOQ2445993
Authors: Yongwu Li, Zhongfei 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
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Hamilton-Jacobi-Bellman equationmean-varianceproportional reinsurancetime-consistencyequilibrium strategy
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Cited In (52)
- Optimal excess-of-loss reinsurance and investment with stochastic factor process
- Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
- Optimal investment and reinsurance strategies with state-dependent risk aversion
- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
- Equilibrium controls in time inconsistent stochastic linear quadratic problems
- Optimal investment problem for an insurer and a reinsurer
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
- Optimal insurance strategy design in a risk process under value-at-risk constraints on capital increments
- Non-exponential discounting portfolio management with habit formation
- A regular equilibrium solves the extended HJB system
- Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
- On time-inconsistent stopping problems and mixed strategy stopping times
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump-diffusion model
- Time-consistent reinsurance and investment strategy selection under mean-variance criterion
- Optimal investment problem between two insurers with value-added service
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Optimal insurance strategy in a risk process under a safety level imposed on the increments of the process
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- Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function
- Title not available (Why is that?)
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- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- Optimal portfolio strategy of wealth process: a Lévy process model-based method
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
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