Optimal investment problem between two insurers with value-added service

DOI10.1080/03610926.2019.1653921MaRDI QIDQ5078487zbMATH OpenOpenAlexFDO

Authors Yajie Wang, Hui Zhao, Danping Li, Ximin Rong

Publication date 23 May 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2019.1653921

zbMATH Keywords

equilibrium strategymean-variance criterionvalue-added serviceinsurance and investment

Mathematics Subject Classification ID

Statistics (62-XX)

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Cites work

• A reinsurance game between two insurance companies with nonlinear risk processes
• A stochastic Nash equilibrium portfolio game between two DC pension funds
• A stochastic differential reinsurance game
• Asymptotics for ruin probabilities of a non-standard renewal risk model with dependence structures and exponential Lévy process investment returns
• Competing in Product and Service: A Product Life-Cycle Model
• Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
• Mean-variance portfolio optimization with state-dependent risk aversion
• Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
• Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
• Optimal dynamic reinsurance with dependent risks: variance premium principle
• Optimal non-proportional reinsurance control and stochastic differential games
• Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
• Service supply chain management: a review of operational models
• Strategic interactions between channel structure and demand enhancing services
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
• Uniform asymptotics for ruin probabilities in a dependent renewal risk model with stochastic return on investments

Cited in

(1)

• A non-zero-sum stochastic differential game between two mean-variance insurers with inside information

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