Optimal investment with multiple risky assets for an insurer with modified periodic risk process

DOI10.1007/S11424-014-2176-ZMaRDI QIDQ498092zbMATH OpenOpenAlexFDO

Authors Hui Zhao, Ximin Rong

Publication date 25 September 2015

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11424-014-2176-z

zbMATH Keywords

ruin probabilityoptimal investmentadjustment coefficientmultiple risky assetsmodified periodic risk model

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

• Optimal Investment for an Insurer with Multiple Risky Assets Under Mean-Variance Criterion
• Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment
• The periodic risk model with investment
• Optimal investment with multiple risky assets for an insurer in an incomplete market
• Optimal investment with some risky assets

Cites work

• scientific article; zbMATH DE number 3844884 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 1249326 (Why is no real title available?)
• scientific article; zbMATH DE number 2006037 (Why is no real title available?)
• scientific article; zbMATH DE number 2144816 (Why is no real title available?)
• Asymptotic ruin probabilities and optimal investment
• Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal investment for an insurer with exponential utility preference
• Optimal investment for an insurer: the martingale approach
• Optimal investment for insurer with jump-diffusion risk process
• Optimal investment for insurers
• Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
• Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
• The Markov-modulated risk model with investment
• The periodic risk model with investment

Cited in

(7)

• Optimal portfolio strategy of wealth process: a Lévy process model-based method
• Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
• Optimal investment with some risky assets
• Optimal investment with multiple risky assets for an insurer in an incomplete market
• The periodic risk model with investment
• Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment
• Optimal Investment for an Insurer with Multiple Risky Assets Under Mean-Variance Criterion

This page was built for publication: Optimal investment with multiple risky assets for an insurer with modified periodic risk process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q498092)