Optimal investment with multiple risky assets for an insurer with modified periodic risk process
From MaRDI portal
Publication:498092
DOI10.1007/S11424-014-2176-ZzbMATH Open1372.91099OpenAlexW1998302853MaRDI QIDQ498092FDOQ498092
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
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
ruin probabilityoptimal investmentadjustment coefficientmultiple risky assetsmodified periodic risk model
Cites Work
- Title not available (Why is that?)
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment for insurers
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for an insurer with exponential utility preference
- Title not available (Why is that?)
- Title not available (Why is that?)
- Title not available (Why is that?)
- Continuous-time portfolio selection with liability: mean-variance model and stochastic LQ approach
- Optimal investment for an insurer: the martingale approach
- The Markov-modulated risk model with investment
- Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
- Title not available (Why is that?)
- Asymptotic ruin probabilities and optimal investment
- Risk Theory in a Periodic Environment: The Cramér-Lundberg Approximation and Lundberg's Inequality
- The periodic risk model with investment
Cited In (7)
- Optimal investment with multiple risky assets for an insurer in an incomplete market
- Optimal investment with multiple risky assets under short-selling prohibition in a periodic environment
- Optimal multi-asset investment with no-shorting constraint under mean-variance criterion for an insurer
- Optimal investment with some risky assets
- The periodic risk model with investment
- Optimal Investment for an Insurer with Multiple Risky Assets Under Mean-Variance Criterion
- Optimal portfolio strategy of wealth process: a Lévy process model-based method
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)
