Optimal investment and risk control policies for an insurer in an incomplete market
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Publication:5239078
DOI10.1080/02331934.2019.1581778zbMATH Open1426.91238OpenAlexW2921606944WikidataQ128129460 ScholiaQ128129460MaRDI QIDQ5239078FDOQ5239078
Authors: Xiaoye Zhang, Ya Huang, Yingchun Deng, Jieming Zhou, Xu-yan Xiang 
Publication date: 21 October 2019
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2019.1581778
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Actuarial mathematics (91G05) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Utility theory (91B16) Martingales with continuous parameter (60G44)
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- Optimal investment for insurer with jump-diffusion risk process
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- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
Cited In (14)
- Optimal investment with multiple risky assets for an insurer in an incomplete market
- Expected utility maximization for an insurer with investment and risk control under inside information
- Existence of value functions of differential games with incomplete information in partially order spaces
- The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
- Optimal investment and reinsurance to maximize the probability of drawup before drawdown
- The optimal insurance strategy in complete market
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- Optimal control of investment, premium and deductible for a non-life insurance company
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- A Stackelberg reinsurance-investment game under Heston's stochastic volatility model
- A hybrid stochastic differential reinsurance and investment game with bounded memory
- A mean field game approach to optimal investment and risk control for competitive insurers
- Optimal investment and risk control for an insurer with stochastic factor
- A hybrid reinsurance-investment game with delay and asymmetric information
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