Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint
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Publication:2631901
DOI10.1155/2019/6750892zbMATH Open1411.91323OpenAlexW2910602298WikidataQ128621040 ScholiaQ128621040MaRDI QIDQ2631901FDOQ2631901
Authors: Yuzhen Wen, Chuancun Yin 
Publication date: 16 May 2019
Published in: Journal of Function Spaces (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1155/2019/6750892
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Cites Work
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- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Optimal reinsurance under general law-invariant risk measures
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Benchmark and mean-variance problems for insurers
- Optimal reinsurance under VaR and CTE risk measures
- Optimal proportional reinsurance policies for diffusion models with transaction costs
- On minimizing the ruin probability by investment and reinsurance
- Optimal risk and dividend distribution control models for an insurance company
- Optimal Dynamic Trading Strategies with Risk Limits
- Optimal portfolios under a value-at-risk constraint
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Optimal reinsurance under dynamic VaR constraint
- Optimal reinsurance with regulatory initial capital and default risk
Cited In (11)
- Maximum likelihood gradient identification for multivariate equation‐error moving average systems using the multi‐innovation theory
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Multi-innovation gradient estimation algorithms for multivariate equation-error autoregressive moving average systems based on the filtering technique
- Optimal reinsurance approach with barrier dividend under the dynamic VaR constraint
- Hierarchical recursive generalized extended least squares estimation algorithms for a class of nonlinear stochastic systems with colored noise
- State estimation for bilinear systems through minimizing the covariance matrix of the state estimation errors
- The filtering‐based maximum likelihood iterative estimation algorithms for a special class of nonlinear systems with autoregressive moving average noise using the hierarchical identification principle
- Optimal reinsurance under dynamic VaR constraint
- On some parameter estimation algorithms for the nonlinear exponential autoregressive model
- Highly computationally efficient state filter based on the delta operator
- Optimal expected utility of dividend payments with proportional reinsurance under VaR constraints and stochastic interest rate
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