Optimal investment and risk control policies for an insurer in an incomplete market
From MaRDI portal
Publication:5239078
Recommendations
- Optimal investment with multiple risky assets for an insurer in an incomplete market
- Optimal investment for an insurer: the martingale approach
- Optimal Investment for an Insurer with Multiple Risky Assets Under Mean-Variance Criterion
- Optimal investment for an insurer in the Lévy market: the martingale approach
- Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
Cites work
- A secret to create a complete market from an incomplete market
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Financial Modelling with Jump Processes
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Martingales and arbitrage in multiperiod securities markets
- On optimal investment in a reinsurance context with a point process market model
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market
- Optimal control and dependence modeling of insurance portfolios with Lévy dynamics
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- Optimal investment and proportional reinsurance with constrained control variables
- Optimal investment and risk control policies for an insurer: expected utility maximization
- Optimal investment for an insurer in the Lévy market: the martingale approach
- Optimal investment for an insurer: the martingale approach
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment with multiple risky assets for an insurer in an incomplete market
- Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
- Optimal proportional reinsurance and investment under partial information
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Stochastic calculus for finance. II: Continuous-time models.
- Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
Cited in
(14)- Optimal control of investment, premium and deductible for a non-life insurance company
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
- A hybrid stochastic differential reinsurance and investment game with bounded memory
- Existence of value functions of differential games with incomplete information in partially order spaces
- A mean field game approach to optimal investment and risk control for competitive insurers
- Expected utility maximization for an insurer with investment and risk control under inside information
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- The optimal insurance strategy in complete market
- Optimal investment and risk control for an insurer with stochastic factor
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- Optimal investment with multiple risky assets for an insurer in an incomplete market
- A hybrid reinsurance-investment game with delay and asymmetric information
- A Stackelberg reinsurance-investment game under Heston's stochastic volatility model
This page was built for publication: Optimal investment and risk control policies for an insurer in an incomplete market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5239078)
