Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
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Cites work
- A Bayesian approach for optimal reinsurance and investment in a diffusion model
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- Anticipative portfolio optimization
- Continuous-time Markowitz's model with transaction costs
- Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Equilibrium strategies for the mean-variance investment problem over a random horizon
- scientific article; zbMATH DE number 1546925 (Why is no real title available?)
- Insider trading with a random deadline under partial observations: maximal principle method
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Optimal investment for insurers
- Optimal investment with inside information and parameter uncertainty
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
- Optimal reinsurance and investment with a common shock and a random exit time
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- Optimization of Utility for “Larger Investor” with Anticipation
- Portfolio management in a stochastic factor model under the existence of private information
- Robust optimal investment and reinsurance for an insurer with inside information
- Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Utility maximization with partial information
Cited in
(4)- Life reinsurance under perfect and asymmetric information
- Multi-period mean-variance portfolio optimization in Markovian regime-switching markets with market path-dependent uncertain exit time
- Modeling the blockchain-related insurance contracts with moral hazard and adverse selection
- Stackelberg reinsurance-investment game with smooth ambiguity under inside information
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