Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
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Publication:5076896
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- scientific article; zbMATH DE number 14969 (Why is no real title available?)
- scientific article; zbMATH DE number 1396448 (Why is no real title available?)
- scientific article; zbMATH DE number 3281211 (Why is no real title available?)
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Cited in
(9)- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- Optimal portfolio problems for an insurance company under default risk and model uncertainty
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process
- Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
- Optimal reinsurance-investment problem under mean-variance criterion with n risky assets
- Non-exponential discounting portfolio management with habit formation
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