Time-consistent reinsurance-investment strategy for mean-variance insurers with defaultable security and jumps

DOI10.15672/HJMS.201613620024zbMATH Open1419.91388MaRDI QIDQ4626795FDOQ4626795

Authors: Qiang Zhang, Qianqian Cui, Ping Chen 

Publication date: 6 March 2019

Published in: Hacettepe Journal of Mathematics and Statistics (Search for Journal in Brave)

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zbMATH Keywords

mean-varianceproportional reinsurancetime-consistent strategydefaultable bondgeometric Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Optimal stochastic control (93E20)

Cited In (11)

• Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
• Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
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• Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
• Time-consistent investment-proportional reinsurance strategy under a jump-diffusion model
• Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
• Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
• Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market
• Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
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