Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock

DOI10.1360/SCM-2017-0371MaRDI QIDQ5064289zbMATH OpenOpenAlexFDO

Authors Caibin Zhang, Zhibin Liang, Kam Chuen Yuen

Publication date 21 March 2022

Published in SCIENTIA SINICA Mathematica (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1360/scm-2017-0371

zbMATH Keywords

dependent riskextended Hamilton-Jacobi-Bellman equationMarkovian regime-switchingmean-variancereinsurance and investment

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial mathematics (91G05) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(8)

• On optimal proportional reinsurance and investment in a Markovian regime-switching economy
• Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
• Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
• Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market
• Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
• Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
• Risk-based optimal portfolio of an insurance firm with regime switching and noisy memory
• Time-consistent investment and reinsurance strategies under thinning-dependence structure

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