Optimal investment and risk control for an insurer under inside information
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Cites work
- A general stochastic calculus approach to insider trading
- An Anticipating Calculus Approach to the Utility Maximization of an Insider
- Anticipative portfolio optimization
- Forward, backward and symmetric stochastic integration
- Insider models with finite utility in markets with jumps
- MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES
- On minimizing the ruin probability by investment and reinsurance
- Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Optimal investment for an insurer: the martingale approach
- Optimal investment with inside information and parameter uncertainty
- Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Optimal proportional reinsurance and investment under partial information
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Optimal reinsurance/investment problems for general insurance models
- Optimal Smooth Portfolio Selection for an Insider
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Progressive filtration expansions via a process, with applications to insider trading
- Stochastic differential games in insider markets via Malliavin calculus
- Stochastic optimal control and the U.S. financial debt crisis
- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
Cited in
(26)- Optimal investment and risk control for an insurer with stochastic factor
- Optimal investment with inside information and parameter uncertainty
- Differential equations connecting VaR and CVaR
- Revisiting optimal investment strategies of value-maximizing insurance firms
- Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment
- Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information
- Information uncertainty related to marked random times and optimal investment
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- Uncertainty and inside information
- Optimal credit investment and risk control for an insurer with regime-switching
- Robust optimal investment and reinsurance for an insurer with inside information
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- The value of insight
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- Portfolio optimization with insider's initial information and counterparty risk
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Expected utility maximization for an insurer with investment and risk control under inside information
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Good deal indices in asset pricing: actuarial and financial implications
- Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
- A mean field game approach to optimal investment and risk control for competitive insurers
- Mean-variance asset-liability management with inside information
- Optimal time-consistent mean-variance reinsurance investment strategies for insurers under the Heston-Hawkes SV model
- Time-consistent risk control and investment strategies with transaction costs
- Optimal dividend, investment, and risk control strategies in a financial market with dynamic contagion jumps
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