Optimal reinsurance and investment strategy with two piece utility function
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Cites work
- Advances in prospect theory: cumulative representation of uncertainty
- Behavioral optimal insurance
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- Continuous-time portfolio selection with loss aversion in an incomplete market
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- Disappointment aversion premium principle
- Disappointment in Decision Making Under Uncertainty
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
- Myopic Loss Aversion and the Equity Premium Puzzle
- On maximizing the expected terminal utility by investment and reinsurance
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy
- Optimal financing and dividend strategies in a dual model with proportional costs
- 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
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal portfolio choice for an insurer with loss aversion
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Prospect Theory: An Analysis of Decision under Risk
- Static portfolio choice under cumulative prospect theory
- The optimal insurance under disappointment theories
- The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
Cited in
(15)- On maximizing the expected terminal utility by investment and reinsurance
- A non-zero-sum reinsurance-investment game with delay and asymmetric information
- Martingale method for optimal investment and proportional reinsurance
- Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer
- Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions
- Optimal investment and risk control problems with delay for an insurer in defaultable market
- Optimal investment and reinsurance with premium control
- A pair of optimal reinsurance-investment strategies in the two-sided exit framework
- Minimizing expected time to reach a given capital level before ruin
- Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function
- Minimax martingale method for optimal investment-reinsurance problem in a general insurance company risk model
- Optimal portfolios in finance and actuarial science
- Optimal investment-reinsurance strategy with stochastic premium and transaction cost
- scientific article; zbMATH DE number 7266451 (Why is no real title available?)
- Investigations to the optimal derivative-based investment and proportional reinsurance strategies
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