Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
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Publication:659110
DOI10.1016/J.INSMATHECO.2009.05.006zbMATH Open1231.91150OpenAlexW2005412608MaRDI QIDQ659110FDOQ659110
Authors: Yusong Cao, Nianqing Wan 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.05.006
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Cited In (54)
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- Optimal decision on dynamic insurance price and investment portfolio of an insurer
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
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- Optimal investment and reinsurance for insurers with uncertain time-horizon
- Optimal proportional reinsurance and investment under partial information
- Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Derivatives trading for insurers
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
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- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Robust non-zero-sum stochastic differential reinsurance game
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
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- Optimal investment and excess of loss reinsurance with short-selling constraint
- Review of statistical actuarial risk modelling
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- On maximizing the expected terminal utility by investment and reinsurance
- Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Optimal portfolio and reinsurance with two differential risky assets
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
- OPTIMAL PROPORTIONAL REINSURANCE AND INVESTMENT PROBLEM WITH CONSTRAINTS ON RISK CONTROL IN A GENERAL JUMP-DIFFUSION FINANCIAL MARKET
- Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model
- Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
- Stochastic differential game formulation on the reinsurance and investment problem
- Optimal investment and proportional reinsurance with constrained control variables
- 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
- On optimal investment in a reinsurance context with a point process market model
- Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Optimal reinsurance and investment policies with the CEV stock market
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- 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
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