Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles

DOI10.1051/RO/2019010MaRDI QIDQ5380970zbMATH OpenOpenAlexWikidataFDO

Authors Kailing Chen, Junna Bi

Publication date 7 June 2019

Published in RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1051/ro/2019010

zbMATH Keywords

HJB equationexponential utilitycompound Poisson processdependent riskoptimal investment-reinsuranceBrownian motion diffusion risk model

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

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• Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
• Stackelberg differential reinsurance and investment game for a dependent risk model with Ornstein-Uhlenbeck process
• Bayesian optimal investment and reinsurance with dependent financial and insurance risks
• On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading
• Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
• Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
• Robust optimal investment and reinsurance problems with learning
• Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles
• Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
• Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
• Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market

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