Optimal reinsurance-investment strategies for insurers under mean-car criteria
From MaRDI portal
Publication:2450818
DOI10.3934/jimo.2012.8.673zbMath1292.91099OpenAlexW2327763718MaRDI QIDQ2450818
Publication date: 16 May 2014
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2012.8.673
Hamilton-Jacobi-Bellman equationinsurerscapital-at-riskoptimal proportional reinsurance-investment strategy
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (13)
A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers ⋮ Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria ⋮ The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment ⋮ Optimal stochastic investment games under Markov regime switching market ⋮ Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps ⋮ Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion ⋮ Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model ⋮ Optimization problem of insurance investment based on spectral risk measure and RAROC criterion ⋮ Optimal reinsurance and investment strategy with delay in Heston's SV model ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model ⋮ Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach ⋮ Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
This page was built for publication: Optimal reinsurance-investment strategies for insurers under mean-car criteria
