Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
From MaRDI portal
Publication:5078056
DOI10.1080/03610926.2019.1620953OpenAlexW2947510045MaRDI QIDQ5078056
Publication date: 20 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1620953
Related Items (3)
Valuing multirisk catastrophe reinsurance based on the Cox-Ingersoll-Ross (CIR) model ⋮ A markov-modulated risk model with transaction costs and threshold dividend strategy ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
Cites Work
- Unnamed Item
- Unnamed Item
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
- Optimal investment for an insurer in the Lévy market: the martingale approach
- Optimal investment for an insurer: the martingale approach
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Martingales and arbitrage in multiperiod securities markets
- Martingales and stochastic integrals in the theory of continuous trading
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Option pricing for time-change exponential Lévy model under MEMM
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Stochastic Optimal Control and the U.S. Financial Debt Crisis
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- On the Existence of Minimax Martingale Measures
- Minimax and minimal distance martingale measures and their relationship to portfolio optimization
This page was built for publication: Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
