Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
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exponential utilityHamilton-Jacobi-Bellman equationjump-diffusion risk modeloptimal investment strategyproportional reinsurance
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Cites work
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- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
- Martingale Analysis for Assets with Discontinuous Returns
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
- On maximizing the expected terminal utility by investment and reinsurance
- On minimizing the ruin probability by investment and reinsurance
- On reinsurance and investment for large insurance portfolios
- Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
- Optimal investment and proportional reinsurance with constrained control variables
- Optimal investment and reinsurance in a jump diffusion risk model
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- Optimal investment for an insurer with exponential utility preference
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal portfolio for a small investor in a market model with discontinuous prices
- Optimal portfolio selection when stock prices follow an jump-diffusion process
- Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
- Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
Cited in
(11)- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
- Optimal investment, consumption and proportional reinsurance under model uncertainty
- Optimal proportional reinsurance and investment in jump diffusion markets with no short-selling and no borrowing
- Optimal investment and excess of loss reinsurance with short-selling constraint
- Optimal investment and life insurance strategies in a mixed jump-diffusion framework
- The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
- Investigations to the optimal derivative-based investment and proportional reinsurance strategies
- Heston model about optimal investment and proportional reinsurance strategies for an insurer
- Robust optimal investment and reinsurance strategy under Heston model with the generalized variance premium principle
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
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