Optimal investment and excess of loss reinsurance with short-selling constraint
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Publication:475706
DOI10.1007/S10255-011-0089-3zbMATH Open1302.62225OpenAlexW2162654080MaRDI QIDQ475706FDOQ475706
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
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)
Cites Work
- Financial Modelling with Jump Processes
- Controlled Markov processes and viscosity solutions
- Title not available (Why is that?)
- 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 investment for insurer with jump-diffusion risk process
- 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
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal investment and reinsurance for jump-diffusion surplus processes
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
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 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
- Optimal investment and proportional reinsurance under no short-selling and no borrowing
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