Optimal proportional reinsurance and investment under partial information
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Publication:2513598
DOI10.1016/j.insmatheco.2013.07.004zbMath1304.91127OpenAlexW2049124150MaRDI QIDQ2513598
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.2013.07.004
Processes with independent increments; Lévy processes (60G51) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Portfolio theory (91G10)
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DETERMINISTIC INVESTMENT STRATEGY IN A DC PENSION PLAN WITH INFLATION RISK UNDER MEAN-VARIANCE CRITERION ⋮ Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment ⋮ Optimal investment and risk control for an insurer under inside information ⋮ Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ Optimal deterministic reinsurance and investment for an insurer under mean–variance criterion ⋮ A general linear quadratic stochastic control and information value ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information ⋮ A hybrid reinsurance-investment game with delay and asymmetric information ⋮ Optimal investment problem with delay under partial information ⋮ Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift ⋮ Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information ⋮ Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff ⋮ Optimal investment, consumption and proportional reinsurance under model uncertainty ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence ⋮ Optimal investment and risk control policies for an insurer in an incomplete market ⋮ Mean-variance asset–liability management with partial information and uncertain time horizon ⋮ Optimal reinsurance and investment problem for an insurer with counterparty risk
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