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

Brownian motion diffusion risk modelcompound Poisson processdependent riskexponential utilityHJB equationoptimal investment-reinsurance

Mathematics Subject Classification ID

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

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• Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market
• Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
• Diffusion approximation and optimal investment for dependent classes of business
• Optimal investment-reinsurance strategy with exchange rate risk under variance premium principle
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• Robust optimal investment and reinsurance problems with learning
• Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles
• Optimal investment and reinsurance on survival and growth problems for the risk model with common shock dependence
• Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
• Optimal mean-variance reinsurance with common shock dependence
• Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
• Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
• On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading
• Stackelberg differential reinsurance and investment game for a dependent risk model with Ornstein-Uhlenbeck process
• Ambiguity aversion type insurance company's optimal re-insurance and investment strategy -- taking the Chinese stock market as an example
• Optimal reinsurance and investment strategy under the influence of unexpected events

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