Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
From MaRDI portal
Publication:5414522
DOI10.1002/asmb.934zbMath1286.91068MaRDI QIDQ5414522
Zhibin Liang, Ka Chun Cheung, Kam-Chuen Yuen
Publication date: 6 May 2014
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.934
60J60: Diffusion processes
60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)
91G10: Portfolio theory
Related Items
Optimal reinsurance and investment problem in a defaultable market, Optimal dynamic reinsurance with dependent risks: variance premium principle, Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market, Optimal investment problem for an open-end fund with dynamic flows, Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond, Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon, Optimal investment and reinsurance problem with jump-diffusion model, Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility, Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security, Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk, Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks, Optimal portfolio and reinsurance with two differential risky assets, Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model, A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment, Reinsurance contract design with heterogeneous beliefs and learning, The investment and reinsurance game of insurers and reinsurers with default risk under CEV model, Optimal investment problem for an insurer and a reinsurer, Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model, Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk, Robust time-consistent portfolio selection for an investor under CEV model with inflation influence, Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables, Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps, Time-consistent proportional reinsurance and investment strategies under ambiguous environment, Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence, Risk- and value-based management for non-life insurers under solvency constraints, Mean-variance portfolio selection under a constant elasticity of variance model, Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model, Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model, Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model, Martingale method for optimal investment and proportional reinsurance, Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model, Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment, Optimal investment-reinsurance strategy in the correlated insurance and financial markets, Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps, Optimal dividend and risk control policies in the presence of a fixed transaction cost, Optimal investment and risk control problems with delay for an insurer in defaultable market, Optimal investment and reinsurance with premium control, Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model, Optimal excess-of-loss reinsurance and investment polices under the CEV model, Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information, Stochastic differential reinsurance games with capital injections, Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion, Optimal investment-reinsurance policy with stochastic interest and inflation rates, Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model, Optimal dynamic reinsurance with worst-case default of the reinsurer, Stochastic differential game formulation on the reinsurance and investment problem
Cites Work
- Unnamed Item
- Unnamed Item
- The Pricing of Options and Corporate Liabilities
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
- Constant elasticity of variance model for proportional reinsurance and investment strategies
- Risk theory for the compound Poisson process that is perturbed by diffusion
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for an insurer with exponential utility preference
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- On reinsurance and investment for large insurance portfolios
- Constant elasticity of variance (CEV) option pricing model: Integration and detailed derivation
- The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
- An optimal investment strategy with maximal risk aversion and its ruin probability
- Optimal portfolios for DC pension plans under a CEV model
- Measuring the effects of reinsurance by the adjustment coefficient
- The dynamics of stochastic volatility: evidence from underlying and options markets
- Excess of loss reinsurance and Gerber's inequality in the Sparre Andersen model.
- Asymptotic ruin probabilities and optimal investment
- Optimal investment for investors with state dependent income, and for insurers
- On minimizing the ruin probability by investment and reinsurance
- Optimal control of risk exposure, reinsurance and investments for insurance portfolios
- Optimal proportional reinsurance for controlled risk process which is perturbed by diffusions
- Optimal insurance in a continuous-time model
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- OPTIMAL PROPORTIONAL REINSURANCE UNDER TWO CRITERIA: MAXIMIZING THE EXPECTED UTILITY AND MINIMIZING THE VALUE AT RISK
- Optimal investment and proportional reinsurance with constrained control variables
- Optimization Problems in the Theory of Continuous Trading
- Upper bound for ruin probabilities under optimal investment and proportional reinsurance
- Excess of loss reinsurance limits
- On the Maximisation of the Adjustment Coefficient under Proportional Reinsurance
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Proportional Reinsurance and Ruin Probability
- Asymptotics of ruin probabilities for controlled risk processes in the small claims case
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Optimal investment for insurers