Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
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Publication:2513435
DOI10.1016/J.INSMATHECO.2014.04.004zbMATH Open1304.91132OpenAlexW1987404879MaRDI QIDQ2513435FDOQ2513435
Publication date: 28 January 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2014.04.004
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Cited In (57)
- Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference
- Stochastic maximum principle for optimal control problems with mixed delays and noisy observations
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- A general maximum principle for optimal control of stochastic differential delay systems
- Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion
- Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
- Optimal reinsurance strategy under fixed cost and delay
- Portfolio selection with inflation-linked bonds and indexation lags
- Pairs trading under delayed cointegration
- Optimal investment and risk control problems with delay for an insurer in defaultable market
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- Title not available (Why is that?)
- Optimal reinsurance with both proportional and fixed costs
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- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- A hybrid reinsurance-investment game with delay and asymmetric information
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