Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
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Cites work
- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 158461 (Why is no real title available?)
- scientific article; zbMATH DE number 735228 (Why is no real title available?)
- scientific article; zbMATH DE number 3333061 (Why is no real title available?)
- Insurer's optimal reinsurance strategies
- Mean-variance portfolio selection for a non-life insurance company
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal insurance under Wang's premium principle.
- Optimal investment for insurer with jump-diffusion risk process
- Optimal reinsurance under mean-variance premium principles
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
Cited in
(57)- Review of statistical actuarial risk modelling
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
- A note on optimal expected utility of dividend payments with proportional reinsurance
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- Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
- Optimal investment strategy for both insurer and reinsurer
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
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- Optimal investment, consumption and proportional reinsurance under model uncertainty
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- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
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- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- On optimal investment in a reinsurance context with a point process market model
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- Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
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- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Optimal investment and proportional reinsurance in the Sparre Andersen model
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- Robust non-zero-sum stochastic differential reinsurance game
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- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
- Optimal decision on dynamic insurance price and investment portfolio of an insurer
- Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
- The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
- Optimal investment and excess of loss reinsurance with short-selling constraint
- Optimal proportional reinsurance and investment for stochastic factor models
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Optimal portfolio and reinsurance with two differential risky assets
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