Optimal investment and risk control for an insurer under inside information
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Publication:343979
DOI10.1016/J.INSMATHECO.2016.04.008zbMATH Open1369.91166OpenAlexW2345582795MaRDI QIDQ343979FDOQ343979
Authors: Wenyuan Wang, Xingchun Peng 
Publication date: 21 November 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.04.008
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Cites Work
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- A general stochastic calculus approach to insider trading
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- Stochastic differential games in insider markets via Malliavin calculus
- Optimal proportional reinsurance and investment under partial information
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- Stochastic optimal control and the U.S. financial debt crisis
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- UTILITY MAXIMIZATION IN AN INSIDER INFLUENCED MARKET
- Optimal portfolio for an insider in a market driven by Lévy processes§
- Insider models with finite utility in markets with jumps
- Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
Cited In (16)
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Expected utility maximization for an insurer with investment and risk control under inside information
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Mean-variance asset-liability management with inside information
- Good deal indices in asset pricing: actuarial and financial implications
- Revisiting optimal investment strategies of value-maximizing insurance firms
- Differential equations connecting VaR and CVaR
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
- Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- Optimal credit investment and risk control for an insurer with regime-switching
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- A mean field game approach to optimal investment and risk control for competitive insurers
- Optimal investment and risk control for an insurer with stochastic factor
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