Optimal reinsurance and investment strategy with two piece utility function
From MaRDI portal
Publication:2628182
DOI10.3934/jimo.2016044zbMath1406.91197MaRDI QIDQ2628182
Publication date: 12 June 2017
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2016044
91B16: Utility theory
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
Related Items
A non-zero-sum reinsurance-investment game with delay and asymmetric information, Optimal investment and risk control problems with delay for an insurer in defaultable market, Minimizing expected time to reach a given capital level before ruin
Cites Work
- Unnamed Item
- Unnamed Item
- The optimal insurance under disappointment theories
- Optimal financing and dividend strategies in a dual model with proportional costs
- Behavioral optimal insurance
- Optimal investment for insurer with jump-diffusion risk process
- On maximizing the expected terminal utility by investment and reinsurance
- The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
- Optimal investment for investors with state dependent income, and for insurers
- Static portfolio choice under cumulative prospect theory
- On optimal proportional reinsurance and investment in a Markovian regime-switching economy
- Optimal portfolio choice for an insurer with loss aversion
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Advances in Prospect Theory: Cumulative Representation of Uncertainty
- Disappointment in Decision Making Under Uncertainty
- Disappointment and Dynamic Consistency in Choice under Uncertainty
- Prospect Theory: An Analysis of Decision under Risk
- DISAPPOINTMENT AVERSION PREMIUM PRINCIPLE
- Myopic Loss Aversion and the Equity Premium Puzzle
- 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
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Optimal investment for insurers