Optimal investment and reinsurance strategies for an insurer with regime-switching
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Cites work
- A stochastic maximum principle for a Markov regime-switching jump-diffusion model and its application to finance
- Applied stochastic control of jump diffusions.
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Controlled Markov processes and viscosity solutions
- Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
- Dynamic mean-variance problem with constrained risk control for the insurers
- Dynamic portfolio optimization with a defaultable security and regime-switching
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Explicit solutions of optimal consumption, investment and insurance problems with regime switching
- scientific article; zbMATH DE number 4034749 (Why is no real title available?)
- scientific article; zbMATH DE number 3620754 (Why is no real title available?)
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- On minimizing the ruin probability by investment and reinsurance
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Optimal investment and reinsurance on survival and growth problems for the risk model with common shock dependence
- Optimal investment and reinsurance strategies for an insurer with stochastic economic factor
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Optimal investment and reinsurance with premium control
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Optimal proportional reinsurance and investment for stochastic factor models
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Optimal reinsurance and investment problem in a defaultable market
- Optimal reinsurance/investment problems for general insurance models
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio selection with regime-switching and state-dependent preferences
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
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