Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
From MaRDI portal
Publication:2447423
Recommendations
- Optimization problems of excess-of-loss reinsurance and investment under the CEV model
- Optimal excess-of-loss reinsurance and investment polices under the CEV model
- Optimal reinsurance and investment policies with the CEV stock market
- Optimal reinsurance and investment policies in CEV stock market for classical risk model
- The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
Cites work
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- Aspects of risk theory
- Benchmark and mean-variance problems for insurers
- Constant elasticity of variance model for proportional reinsurance and investment strategies
- Mean-variance portfolio selection for a non-life insurance company
- On maximizing the expected terminal utility by investment and reinsurance
- On minimizing the ruin probability by investment and reinsurance
- On reinsurance and investment for large insurance portfolios
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
- Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
- Optimal investment for an insurer with exponential utility preference
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal portfolios for DC pension plans under a CEV model
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
- Optimal reinsurance-investment strategies for insurers under mean-car criteria
- Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
- Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Ruin minimization for insurers with borrowing constraints
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
Cited in
(89)- Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Optimization problems of excess-of-loss reinsurance and investment under the CEV model
- Optimal reinsurance and investment problem in a defaultable market
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions
- The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
- Stochastic differential game formulation on the reinsurance and investment problem
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- A dynamic Heston local-stochastic volatility model and Legendre transform dual-asymptotic solution for optimal investment strategy problems with CARA utility
- Constant elasticity of variance model for proportional reinsurance and investment strategies
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Optimal investment and reinsurance problem with jump-diffusion model
- European option pricing under fuzzy CEV model
- Optimal investment problem for an insurer and a reinsurer
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Derivatives trading for insurers
- Optimal investment and reinsurance for insurers with uncertain time-horizon
- Optimal reinsurance: minimize the expected time to reach a goal
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Optimal excess-of-loss reinsurance and investment polices under the CEV model
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Robust reinsurance contracts with risk constraint
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
- Optimal investment and risk control policies for an insurer in an incomplete market
- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
- Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
- Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Optimal reinsurance and investment problem with default risk and bounded memory
- Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model
- Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Review of statistical actuarial risk modelling
- Optimal investment strategy for a family with a random household expenditure under the CEV model
- The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
- Optimal portfolio strategy of wealth process: a Lévy process model-based method
- Optimal investment and reinsurance problem with delay under the CEV model
- Optimal reinsurance and investment policies in CEV stock market for classical risk model
- Optimal reinsurance and investment for CEV model under mean-variance criterion
- Optimal consumption and portfolios with the hyperbolic absolute risk aversion preference under the CEV model
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- On stochastic optimal reinsurance and investment strategies for the surplus under the CEV model
- Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
- Optimal investment strategy under the CEV model with stochastic interest rate
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- Optimal investment strategy with constant absolute risk aversion utility under an extended CEV model
- Optimal portfolio and reinsurance with two differential risky assets
- Optimal portfolio selection with life insurance under subjective survival belief and habit formation
- Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Optimal reinsurance contract in a Stackelberg game framework: a view of social planner
- Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion
This page was built for publication: Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2447423)
