Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 2006037 (Why is no real title available?)
- A class of solvable optimal stopping problems of spectrally negative jump diffusions
- Benchmark and mean-variance problems for insurers
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Convex Programming and Duality in Normed Space
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal dynamic portfolio selection: multiperiod mean-variance formulation
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal mean-variance reinsurance with common shock dependence
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal reinsurance and investment with unobservable claim size and intensity
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
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- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
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- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Optimal reinsurance-investment problem with dependent risks based on Legendre transform
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
- Optimal portfolio strategy of wealth process: a Lévy process model-based method
- Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
- 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
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Optimal dividends and reinsurance with capital injection under thinning dependence
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal reinsurance to minimize the probability of drawdown under the mean-variance premium principle
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market
- Better than pre-committed optimal mean-variance policy in a jump diffusion market
- Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
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