Optimal portfolio choice for an insurer with loss aversion
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Cites work
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Advances in prospect theory: cumulative representation of uncertainty
- Applied stochastic control of jump diffusions.
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Behavioral portfolio selection with loss control
- Continuous-time portfolio selection with loss aversion in an incomplete market
- Financial Modelling with Jump Processes
- Myopic Loss Aversion and the Equity Premium Puzzle
- On the decomposition of the ruin probability for a jump-diffusion surplus process compounded by a geometric Brownian motion
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers
- Optimal investment for investors with state dependent income, and for insurers
- Ruin theory with stochastic return on investments
- Static portfolio choice under cumulative prospect theory
- Stochastic calculus for finance. II: Continuous-time models.
- The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
Cited in
(18)- Optimal investment strategies for an insurer with liquid constraint
- Optimal reinsurance and investment strategy with two piece utility function
- Optimal investment strategy for a non-life insurance company: quadratic loss
- Optimal investment for an insurer under liquid reserves
- Portfolio insurance under a risk-measure constraint
- Linear Optimization in C (Ω) and Portfolio Insurance
- Competitive insurance pricing with complete information, loss-averse utility and finitely many policies
- Linear cumulative prospect theory with applications to portfolio selection and insurance demand
- Optimal investment based on relative performance and weighted utility
- Optimal reinsurance-investment with loss aversion under rough Heston model
- A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation
- Optimization problem of insurance investment based on spectral risk measure and RAROC criterion
- Optimal investment and reinsurance strategy selection based on behavior of loss aversion
- Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints
- Optimal investment strategy for the DC pension plan based on jump diffusion model and S-shaped utility
- Asset allocation under loss aversion and minimum performance constraint in a DC pension plan with inflation risk
- Stochastic maximum principle for partial information optimal investment and dividend problem of an insurer
- Martingale method for optimal investment and proportional reinsurance
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