A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers

DOI10.1016/J.INSMATHECO.2016.03.009zbMATH Open1369.91074OpenAlexW2318567134MaRDI QIDQ320304FDOQ320304

Authors: Ishak Alia, Farid Chighoub, Ayesha Sohail

Publication date: 6 October 2016

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.03.009

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Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

Cites Work

Dynamic mean-variance problem with constrained risk control for the insurers
Time-consistent mean-variance portfolio selection in discrete and continuous time
Optimal time-consistent investment and reinsurance policies for mean-variance insurers
Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
Consistent Plans
Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
Constant elasticity of variance model for proportional reinsurance and investment strategies
Optimal investment for insurer with jump-diffusion risk process
Investment and consumption without commitment
Optimal investment for an insurer with exponential utility preference
MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
Consumption-Savings Decisions with Quasi-Geometric Discounting
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
Time-inconsistent stochastic linear-quadratic control
Benchmark and mean-variance problems for insurers
A characterization of sub-game perfect equilibria for SDEs of mean-field type
On maximizing the expected terminal utility by investment and reinsurance
The golden rule when preferences are time inconsistent
Optimal reinsurance-investment strategies for insurers under mean-car criteria
Mean-variance portfolio selection for a non-life insurance company
General Linear Quadratic Optimal Stochastic Control Problem Driven by a Brownian Motion and a Poisson Random Martingale Measure with Random Coefficients
Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
Optimal investment for an insurer: the martingale approach

Cited In (12)

On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
Time-inconsistent stochastic optimal control problems: a backward stochastic partial differential equations approach
Equilibrium for a time-inconsistent stochastic linear-quadratic control system with jumps and its application to the mean-variance problem
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
Open-loop equilibriums for a general class of time-inconsistent stochastic optimal control problems
Characterizations of equilibrium controls in time inconsistent mean-field stochastic linear quadratic problems. I
Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
Open-loop equilibrium strategy for mean-variance portfolio selection with investment constraints in a non-Markovian regime-switching jump-diffusion model
Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
Mean-Quadratic Variation Portfolio Optimization: A Desirable Alternative to Time-Consistent Mean-Variance Optimization?

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