Optimal investment-reinsurance with dynamic risk constraint and regime switching
From MaRDI portal
Publication:2868609
DOI10.1080/03461238.2011.602477zbMath1280.91093MaRDI QIDQ2868609
Tak Kuen Siu, Wai-Ki Ching, Jingzhen Liu, Ka-Fai Cedric Yiu
Publication date: 17 December 2013
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2011.602477
dynamic programming; utility maximization; optimal reinsurance; investment; regime-switching; maximal conditional value at risk; regime-switching Hamilton-Jacobi-Bellman equations
62P05: Applications of statistics to actuarial sciences and financial mathematics
90C90: Applications of mathematical programming
62M02: Markov processes: hypothesis testing
Related Items
Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model, Optimal reinsurance and investment problem for an insurer with counterparty risk, Constrained investment-reinsurance optimization with regime switching under variance premium principle
Cites Work
- Unnamed Item
- Optimal investment for insurer with jump-diffusion risk process
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance under VaR and CTE risk measures
- Optimal portfolios under a value-at-risk constraint
- Controlled diffusion models for optimal dividend pay-out
- Asset allocation with time variation in expected returns
- Optimal dynamic reinsurance policies for large insurance portfolios
- Stochastic control for optimal new business
- On minimizing the ruin probability by investment and reinsurance
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Optimal investment for insurers when the stock price follows an exponential Lévy process
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Coherent Measures of Risk
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Optimal Retention for a Stop-loss Reinsurance Under the VaR and CTE Risk Measures
- Stochastic optimal control theory and its computational methods
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Dependence of the optimal risk control decisions on the terminal value for a financial corporation
- Optimal investment for insurers
