Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
From MaRDI portal
Publication:6496486
DOI10.1016/J.PHYSD.2024.134083WikidataQ128501475 ScholiaQ128501475MaRDI QIDQ6496486
Xing-Chun Peng, Wenhu Wang, Y. K. Wang
Publication date: 3 May 2024
Published in: Physica D (Search for Journal in Brave)
Optimal stochastic control (93E20) Actuarial mathematics (91G05) Hamilton-Jacobi equations in optimal control and differential games (49L12)
Cites Work
- Unnamed Item
- Continuous-time mean-variance portfolio selection with random horizon in an incomplete market
- A Bayesian approach for optimal reinsurance and investment in a diffusion model
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- Optimal reinsurance and investment with unobservable claim size and intensity
- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Utility maximization with partial information
- Optimal investment with inside information and parameter uncertainty
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Insider trading with a random deadline under partial observations: maximal principle method
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Robust optimal investment and reinsurance for an insurer with inside information
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- Continuous-Time Markowitz's Model with Transaction Costs
- Anticipative portfolio optimization
- Equilibrium Strategies for the Mean-Variance Investment Problem over a Random Horizon
- Optimization of Utility for “Larger Investor” with Anticipation
- Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
- Portfolio management in a stochastic factor model under the existence of private information
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
- Optimal investment for insurers
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Optimal reinsurance and investment with a common shock and a random exit time
This page was built for publication: Equilibrium investment-reinsurance strategy under information asymmetry and random horizon