Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
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Cites work
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- Dynamic mean-variance problem with constrained risk control for the insurers
- Inconsistent investment and consumption problems
- Mean-variance portfolio optimization with state-dependent risk aversion
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Optimal investment for insurer with jump-diffusion risk process
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Time-consistent portfolio management
- Uncertainty and inside information
Cited in
(18)- Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Time-consistent optimal reinsurance-investment strategy selection for Poisson-Geometric model
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Time-consistent reinsurance-investment strategy for mean-variance insurers with defaultable security and jumps
- Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market
- 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 investment and risk control policies for an insurer in an incomplete market
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- Time-consistent investment-proportional reinsurance strategy under a jump-diffusion model
- Optimal reinsurance-investment problem for two competitive or cooperative insurers under two investment patterns
- Time-consistent strategies between two competitive DC pension plans with the return of premiums clauses and salary risk
- Equilibrium contribution rate and asset allocation of DB pension plan under the CEV model
- Optimal reinsurance and investment strategy under the influence of unexpected events
- Robust time-consistent portfolio selection for an investor under CEV model with inflation influence
- Optimal reinsurance-investment problem under mean-variance criterion with n risky assets
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