Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
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Publication:2633700
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- scientific article; zbMATH DE number 7156564
Cites work
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- scientific article; zbMATH DE number 2134039 (Why is no real title available?)
- scientific article; zbMATH DE number 1396448 (Why is no real title available?)
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- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Portfolio optimization with a defaultable security
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
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- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
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Cited in
(24)- Optimal reinsurance strategy under fixed cost and delay
- Optimal investment and reinsurance for insurers with uncertain time-horizon
- Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
- Optimal portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses
- A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
- Optimal investment and risk control problems with delay for an insurer in defaultable market
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Optimal reinsurance and investment problem with default risk and bounded memory
- Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market
- Robust optimal reinsurance and investment strategies with delay and default risk in a jump-diffusion financial market with common shock dependence
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- A hybrid reinsurance-investment game with delay and asymmetric information
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Optimal time-consistent investment and reinsurance strategies with default risk and delay under Heston's SV model
- Robust reinsurance and investment strategies under principal-agent framework
- Optimal time-consistent mean-variance reinsurance investment strategies for insurers under the Heston-Hawkes SV model
- Alpha-robust investment-reinsurance strategy for a mean-variance insurer under a defaultable market
- Optimal reinsurance-investment problem with default risk for an insurer under the constant elasticity of variance model
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