Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market
From MaRDI portal
Publication:4643689
DOI10.1080/02331934.2018.1434650zbMATH Open1410.91294OpenAlexW2790686947MaRDI QIDQ4643689FDOQ4643689
Authors: Qiang Zhang, Ping Chen 
Publication date: 28 May 2018
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2018.1434650
Recommendations
- Time-consistent reinsurance-investment strategy for mean-variance insurers with defaultable security and jumps
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- scientific article; zbMATH DE number 7156564
- Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
- Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
Cites Work
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
- Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
- Optimal investment for insurers
- Constant elasticity of variance model for proportional reinsurance and investment strategies
- Optimal investment for insurer with jump-diffusion risk process
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Mean-variance portfolio optimization with state-dependent risk aversion
- Benchmark and mean-variance problems for insurers
- Optimal dividend payments in the classical risk model when payments are subject to both transaction costs and taxes
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
- On the conditional default probability in a regulated market: a structural approach
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Portfolio optimization with a defaultable security
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- OPTIMAL PORTFOLIOS WITH DEFAULTABLE SECURITIES A FIRM VALUE APPROACH
- Dynamic portfolio optimization with a defaultable security and regime-switching
- Optimal financing and dividend control of the insurance company with proportional reinsurance policy
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Inconsistent investment and consumption problems
Cited In (11)
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Optimal reinsurance and investment problem in a defaultable market
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Time-consistent reinsurance-investment strategy for mean-variance insurers with defaultable security and jumps
- Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
- Title not available (Why is that?)
This page was built for publication: Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4643689)
