Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
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Publication:282282
DOI10.1016/J.INSMATHECO.2016.01.001zbMATH Open1348.91193OpenAlexW2299522835MaRDI QIDQ282282FDOQ282282
Authors: Xin Zhang, Hui Meng, Yan Zeng 
Publication date: 12 May 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.01.001
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Cited In (56)
- Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
- Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
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- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
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- Optimal investment-reinsurance strategy with exchange rate risk under variance premium principle
- Robust reinsurance contracts with risk constraint
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Minimizing the probability of absolute ruin under ambiguity aversion
- Maximizing the goal-reaching probability before drawdown with borrowing constraint
- Optimal design for network mutual aid
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Robust non-zero-sum investment and reinsurance game with default risk
- Optimal stop-loss reinsurance with joint utility constraints
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- Optimal reinsurance-investment strategies for insurers under mean-car criteria
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
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