Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
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Cites work
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 3576395 (Why is no real title available?)
- scientific article; zbMATH DE number 1254191 (Why is no real title available?)
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Cited in
(72)- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Optimal investment problem for an insurer and a reinsurer
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Optimal reinsurance-investment strategy in a stochastic financial market
- Optimal proportional reinsurance and investment for stochastic factor models
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Application of the Ornstein-Uhlenbeck process to the solution of the problem of optimization of the capital ofl insurance companies taking into account advertising, as well as Black's portfolio analysis
- Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
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- Optimal investment and reinsurance for insurers with uncertain time-horizon
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation
- Optimal proportional reinsurance and investment under partial information
- Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Optimal reinsurance and investment problems to minimize the probability of drawdown
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- 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
- Moment-matching approximations for stochastic sums in non-Gaussian Ornstein-Uhlenbeck models
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- Optimal investment and premium control in a nonlinear diffusion model
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Risk- and value-based management for non-life insurers under solvency constraints
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- Optimal reinsurance and investment for Ornstein-Uhlenbeck model
- Derivatives trading for insurers
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- A Stackelberg–Nash equilibrium with investment and reinsurance in mixed leadership game
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process
- Decrease of capital guarantees in life insurance products: can reinsurance stop it?
- Optimal investment, consumption and proportional reinsurance under model uncertainty
- Inference for a change-point problem under a generalised Ornstein-Uhlenbeck setting
- Optimal reinsurance and investment problem with default risk and bounded memory
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Inference in a multivariate generalized mean-reverting process with a change-point
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
- Nonzero-sum stochastic differential reinsurance games with jump-diffusion processes
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Optimal active lifetime investment
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Optimal proportional reinsurance with common shock dependence
- The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
- Optimal portfolio and reinsurance with two differential risky assets
- Optimization problems of excess-of-loss reinsurance and investment under the CEV model
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model
- Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition
- Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- An optimal reinsurance and investment problem with a defaultable security and a stock with Ornstein-Uhlenbeck process
- Optimal mean-variance reinsurance with common shock dependence
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
- Optimal reinsurance and investment problem with multiple risky assets and correlation risk for an insurer under the Ornstein-Uhlenbeck model
- Optimal reinsurance and investment policies with the CEV stock market
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
- Optimal portfolio strategy of wealth process: a Lévy process model-based method
- Motifs for processes on networks
- On optimal proportional reinsurance and investment in a hidden Markov financial market
- Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
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