Optimal portfolio choice for an insurer with loss aversion
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Publication:2513637
DOI10.1016/J.INSMATHECO.2014.07.004zbMATH Open1304.91194OpenAlexW2075737764MaRDI QIDQ2513637FDOQ2513637
Authors: Wenjing Guo 
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.2014.07.004
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- Behavioral portfolio selection with loss control
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Cited In (17)
- Linear Optimization in C (Ω) and Portfolio Insurance
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Optimal investment based on relative performance and weighted utility
- Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints
- Optimal investment for an insurer under liquid reserves
- Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer
- Optimal investment strategy for a non-life insurance company: quadratic loss
- Optimal investment strategies for an insurer with liquid constraint
- A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
- Martingale method for optimal investment and proportional reinsurance
- Optimal reinsurance and investment strategy with two piece utility function
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Competitive insurance pricing with complete information, loss-averse utility and finitely many policies
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Portfolio insurance under a risk-measure constraint
- Linear cumulative prospect theory with applications to portfolio selection and insurance demand
- Optimization problem of insurance investment based on spectral risk measure and RAROC criterion
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