Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market
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Publication:5369449
Hamilton-Jacobi-Bellman equationproportional reinsuranceexponential utilityoptimal investment strategyjump-diffusion risk model
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Cites work
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 1249326 (Why is no real title available?)
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- 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
- Optimal investment for an insurer with exponential utility preference
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers
- 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
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
Cited in
(9)- Nonparametric threshold estimation of spot volatility based on high-frequency data for time-dependent diffusion models with jumps
- Optimal proportional reinsurance and investment in jump diffusion markets with no short-selling and no borrowing
- Optimal investment, consumption and proportional reinsurance under model uncertainty
- Optimal investment and excess of loss reinsurance with short-selling constraint
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
- Optimal investment and life insurance strategies in a mixed jump-diffusion framework
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Investigations to the optimal derivative-based investment and proportional reinsurance strategies
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