Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
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Publication:654939
DOI10.3934/JIMO.2010.6.483zbMATH Open1269.90085OpenAlexW1981781684MaRDI QIDQ654939FDOQ654939
Authors: Yan Zeng, Jingjun Liu, Zhongfei Li 
Publication date: 28 December 2011
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/jimo.2010.6.483
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jump diffusionstochastic maximum principleoptimal strategiesbenchmark and mean-variance portfolio selectioninsurers
Nonconvex programming, global optimization (90C26) Portfolio theory (91G10) Duality theory (optimization) (49N15)
Cited In (32)
- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Continuous-time mean-variance portfolio selection under the CEV process
- Non-exponential discounting portfolio management with habit formation
- Dynamic mean-variance asset allocation with stochastic interest rate and inflation rate
- Optimal portfolio selection in a Lévy market with uncontrolled cash flow and only risky assets
- Worst-case investment and reinsurance optimization for an insurer under model uncertainty
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Multi-period mean-variance portfolio selection with a benchmark process
- Benchmark and mean-variance problems for insurers
- Derivatives trading for insurers
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal Investment and Bounded Ruin Probability: Constant Portfolio Strategies and Mean-variance Analysis
- Constrained investment-reinsurance optimization with regime switching under variance premium principle
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Cardinality constrained portfolio selection problem: a completely positive programming approach
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Stochastic differential game formulation on the reinsurance and investment problem
- A benchmarking approach to optimal asset allocation for insurers and pension funds
- Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
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