Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
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Publication:495442
DOI10.1016/J.INSMATHECO.2015.05.003zbMATH Open1348.91161OpenAlexW2218274622MaRDI QIDQ495442FDOQ495442
Authors: Danping Li, Hui Zhao, Ximin Rong 
Publication date: 14 September 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.05.003
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stochastic controlmean-variance criterionstochastic interest ratetime-consistent strategyreinsurance and investmentstochastic inflation index
Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
Cites Work
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Cited In (26)
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Optimal investment and risk control problems with delay for an insurer in defaultable market
- Robust reinsurance contracts with risk constraint
- Optimal hedging with basis risk under mean-variance criterion
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
- Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
- Optimal portfolio and consumption rule with a CIR model under HARA utility
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Optimal dynamic asset-liability management with stochastic interest rates and inflation risks
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model
- Dynamic discrete-time portfolio selection for defined contribution pension funds with inflation risk
- Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading
- A two-layer stochastic game approach to reinsurance contracting and competition
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Robust reinsurance and investment strategies under principal-agent framework
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