Optimal reinsurance and investment under n dependent insurance businesses

DOI10.3969/J.ISSN.1005-3085.2020.05.003MaRDI QIDQ4983993zbMATH OpenFDO

Authors

Publication date 26 April 2021

Full work available at URL https://doi.org/10.3969/J.ISSN.1005-3085.2020.05.003

zbMATH Keywords

HJB equationinvestmentreinsurancestochastic controltime consistency

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Financial markets (91G15) Optimal stochastic control (93E20)

Recommendations

• Optimal time-consistent investment and reinsurance strategies for mean-variance insurer under the dependent risk model
• Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
• Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process
• Time-consistent reinsurance and investment strategy selection under mean-variance criterion
• Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure

Cited in

(17)

• Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
• Bayesian optimal investment and reinsurance with dependent financial and insurance risks
• Optimal investment-reinsurance strategy in the correlated insurance and financial markets
• Optimal per-loss reinsurance and investment to minimize the probability of drawdown
• Optimal reinsurance-investment problem with dependent risks based on Legendre transform
• Diffusion approximation and optimal investment for dependent classes of business
• scientific article; zbMATH DE number 6613567 (Why is no real title available?)
• Time-consistent reinsurance and investment strategy selection under mean-variance criterion
• scientific article; zbMATH DE number 6531919 (Why is no real title available?)
• Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
• Robust optimal investment and reinsurance problems with learning
• Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
• Optimal mean-variance reinsurance with delay and multiple classes of dependent risks
• Optimal time-consistent investment and reinsurance strategies for mean-variance insurer under the dependent risk model
• Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
• Optimal reinsurance strategy based on competition under two kinds of dependent insurance business
• Optimal reinsurance-investment problem under mean-variance criterion with n risky assets

This page was built for publication: Optimal reinsurance and investment under \(n\) dependent insurance businesses

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4983993)