Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model

DOI10.1080/03610926.2016.1212071zbMATH Open1390.91193OpenAlexW2519638969MaRDI QIDQ4597989FDOQ4597989

Authors Danping Li, Hui Zhao, Ximin Rong 

Publication date 15 December 2017

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2016.1212071

zbMATH Keywords

equilibrium strategymean-variance criterionstochastic volatility modelexcess-of-loss reinsurancesquare-root model

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic models in economics (91B70)

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Cited In (15)

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• Optimality of excess-loss reinsurance under a mean-variance criterion
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• Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
• Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
• The eigenstructure of the sample covariance matrices of high-dimensional stochastic volatility models with heavy tails
• Title not available (Why is no real title available?)
• Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
• The excess-of-loss reinsurance strategy selection game between an insurer and a reinsurer
• Optimal per-loss reinsurance and investment to minimize the probability of drawdown
• Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
• Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion
• Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
• Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process

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