Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
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Publication:328530
DOI10.1007/S00186-016-0538-0zbMATH Open1348.91165OpenAlexW2334886797MaRDI QIDQ328530FDOQ328530
Authors: Zhibin Liang, Caibin Zhang, Junna Bi, Kam Chuen Yuen 
Publication date: 20 October 2016
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-016-0538-0
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investmentHamilton-Jacobi-Bellman equationproportional reinsurancejump-diffusion processmean-variance criterioncommon shock
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Cited In (33)
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Minimizing the probability of absolute ruin under ambiguity aversion
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- Optimal dividends and reinsurance with capital injection under thinning dependence
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
- Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
- Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
- A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
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- Optimal portfolio strategy of wealth process: a Lévy process model-based method
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
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