Optimal reinsurance and investment with a common shock and a random exit time

DOI10.1051/RO/2023036MaRDI QIDQ6041244zbMATH OpenFDO

Authors Zhiping Chen, Peng Yang

Publication date 26 May 2023

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/RO/2023036

zbMATH Keywords

investmentmean-variance criterionreinsurancecommon shockmarket interdependencerandom exit time

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

Cited in

(5)

• Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock
• Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
• Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles
• Multi-period mean-variance portfolio optimization in Markovian regime-switching markets with market path-dependent uncertain exit time
• Equilibrium investment-reinsurance strategy under information asymmetry and random horizon

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