Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

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Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
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OPTIMAL INVESTMENT AND REINSURANCE IN A JUMP DIFFUSION RISK MODEL

Cited In (25)

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
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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