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

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

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

• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• Controlled Markov processes and viscosity solutions
• Financial Modelling with Jump Processes
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• 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 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)

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

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