Mean reflected BSDE driven by a marked point process and application in insurance risk management
DOI10.1051/COCV/2024040zbMATH Open1546.60093MaRDI QIDQ6582307FDOQ6582307
Authors: Yiqing Lin 
Publication date: 2 August 2024
Published in: European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)
Recommendations
Derivative securities (option pricing, hedging, etc.) (91G20) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10)
Cites Work
- Coherent measures of risk
- Reflected solutions of backward SDE's, and related obstacle problems for PDE's
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- Backward Stochastic Differential Equations in Finance
- Adapted solution of a backward stochastic differential equation
- Valuation and hedging of life insurance liabilities with systematic mortality risk
- Quadratic BSDEs with mean reflection
- Backward stochastic differential equations and integral-partial differential equations
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
- Point processes and queues. Martingale dynamics
- Backward stochastic differential equations and optimal control of marked point processes
- Backward SDEs with constrained jumps and quasi-variational inequalities
- Backward stochastic differential equation with random measures
- \(L^p\) solution of backward stochastic differential equations driven by a marked point process
- Backward stochastic differential equations associated to jump Markov processes and applications
- Backward stochastic differential equation driven by a marked point process: an elementary approach with an application to optimal control
- Backward Stochastic Differential Equations Driven By Càdlàg Martingales
- Title not available (Why is that?)
- Stochastic differential equations, backward SDEs, partial differential equations
- Absolutely continuous compensators
- Point process theory and applications. Marked point and picewise deterministic processes.
- Title not available (Why is that?)
- Securitization, structuring and pricing of longevity risk
- Financial modeling. A backward stochastic differential equations perspective
- Existence, uniqueness and comparisons for BSDEs in general spaces
- Title not available (Why is that?)
- Longevity risk and capital markets: the 2008-2009 update
- Title not available (Why is that?)
- BSDEs with mean reflection
- Mean reflected stochastic differential equations with jumps
- Optimal stopping of marked point processes and reflected backward stochastic differential equations
This page was built for publication: Mean reflected BSDE driven by a marked point process and application in insurance risk management
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6582307)
