Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
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Cited in
(26)- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Non-Markovian mean-variance portfolio selection problems via closed-loop equilibrium strategies
- Asset allocation for a DC pension fund under stochastic interest rates and inflation-protected guarantee
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Robust reinsurance and investment strategies under principal-agent framework
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Optimal portfolio and consumption rule with a CIR model under HARA utility
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Optimal hedging with basis risk under mean-variance criterion
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- 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
- Robust reinsurance contracts with risk constraint
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
- 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
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