Optimal mean-semi-variance investment-reinsurance problem under probability distortion for an insurer
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Cites work
- scientific article; zbMATH DE number 3790234 (Why is no real title available?)
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- Advances in prospect theory: cumulative representation of uncertainty
- Asymptotic ruin probabilities and optimal investment
- Benchmark and mean-variance problems for insurers
- Continuous-time mean-risk portfolio selection
- Dynamic mean-variance problem with constrained risk control for the insurers
- Mean-variance portfolio selection for a non-life insurance company
- On minimizing the ruin probability by investment and reinsurance
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment for an insurer: the martingale approach
- Optimal investment for insurers
- The Dual Theory of Choice under Risk
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