Optimal time-consistent investment and reinsurance strategies with default risk and delay under Heston's SV model
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Publication:6483752
DOI10.1155/2021/8834842zbMATH Open1512.91109MaRDI QIDQ6483752FDOQ6483752
Authors: Sheng Li, Zhijian Qiu 
Publication date: 3 May 2021
Published in: Mathematical Problems in Engineering (Search for Journal in Brave)
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Actuarial mathematics (91G05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20)
Cited In (9)
- Optimal investment and risk control problems with delay for an insurer in defaultable market
- Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Robust optimal investment problem with delay under Heston's model
- Optimal reinsurance and investment problem with default risk and bounded memory
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Robust optimal reinsurance and investment strategies with delay and default risk in a jump-diffusion financial market with common shock dependence
- Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
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