Optimal investment and excess of loss reinsurance with short-selling constraint

DOI10.1007/S10255-011-0089-3MaRDI QIDQ475706zbMATH OpenOpenAlexFDO

Authors Sheng Liu, Jingxiao Zhang

Publication date 27 November 2014

Published in Acta Mathematicae Applicatae Sinica. English Series (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10255-011-0089-3

zbMATH Keywords

Hamilton-Jacobi-Bellman equationjump-diffusion processshort-selling constraintXL reinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

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Cites work

• Controlled Markov processes and viscosity solutions
• Financial Modelling with Jump Processes
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
• Optimal control of risk exposure, reinsurance and investments for insurance portfolios
• Optimal investment and reinsurance for jump-diffusion surplus processes
• Optimal investment for insurer with jump-diffusion risk process
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• Risk theory for the compound Poisson process that is perturbed by diffusion

Cited in

(6)

• Optimal proportional reinsurance and investment in jump diffusion markets with no short-selling and no borrowing
• Optimal excess-of-loss reinsurance under borrowing constraints
• Optimal investment and proportional reinsurance under no short-selling and no borrowing
• Optimal constrained investment in the Cramer-Lundberg model
• Optimal investment and reinsurance to maximize the probability of drawup before drawdown
• Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables

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