Optimal credit investment and risk control for an insurer with regime-switching
From MaRDI portal
Publication:2633456
DOI10.1007/s11579-018-0222-7zbMath1411.91267arXiv1807.05513OpenAlexW2883431155MaRDI QIDQ2633456
Huafu Liao, Yong Jin Wang, Li Jun Bo
Publication date: 8 May 2019
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1807.05513
Related Items
Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment, Optimal investment and risk control strategies for an insurer subject to a stochastic economic factor in a Lévy market
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal investment and risk control for an insurer under inside information
- A jump to default extended CEV model: an application of Bessel processes
- Robust optimal portfolio choice under Markovian regime-switching model
- Optimal investment and risk control for an insurer with stochastic factor
- Optimal investment under multiple defaults risk: a BSDE-decomposition approach
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Optimal investment and risk control policies for an insurer: expected utility maximization
- MULTIVARIATE SUBORDINATION OF MARKOV PROCESSES WITH FINANCIAL APPLICATIONS
- Risk-sensitive investment in a finite-factor model
- PRICING AND HEDGING OF PORTFOLIO CREDIT DERIVATIVES WITH INTERACTING DEFAULT INTENSITIES
- Valuation of Stock Loans with Regime Switching
- Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Risk-Sensitive Asset Management and Cascading Defaults
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
- PRICING AND SEMIMARTINGALE REPRESENTATIONS OF VULNERABLE CONTINGENT CLAIMS IN REGIME‐SWITCHING MARKETS
