Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
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Publication:2633700
DOI10.1016/j.jmaa.2019.02.016zbMath1411.91319OpenAlexW2914613209MaRDI QIDQ2633700
Hui Zhao, Xi-Min Rong, Suxin Wang
Publication date: 10 May 2019
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmaa.2019.02.016
Related Items (11)
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 portfolio selection for a defined-contribution plan under two administrative fees and return of premium clauses ⋮ 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 ⋮ A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market ⋮ Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
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