Optimal reinsurance-investment strategy for a dynamic contagion claim model
DOI10.1016/J.INSMATHECO.2020.04.013zbMATH Open1446.91056OpenAlexW3025106089MaRDI QIDQ784437FDOQ784437
Authors: Jingyi Cao, David Landriault, Bin Li 
Publication date: 3 August 2020
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.04.013
Recommendations
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal investment strategy for both insurer and reinsurer
- Reinsurance optimal strategy of a loss excess
- Optimal dividend policy in an insurance company with contagious arrivals of claims
- Optimal Dynamic XL Reinsurance
dynamic contagion claimsexternally-exciting effectreinsurance-investment problemself-exciting effecttime-consistent mean-variance criterion
Actuarial mathematics (91G05) Financial networks (including contagion, systemic risk, regulation) (91G45)
Cites Work
- Spectra of some self-exciting and mutually exciting point processes
- An estimation procedure for the Hawkes process
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Title not available (Why is that?)
- Stability and stabilization. An introduction
- Risk processes with non-stationary Hawkes claims arrivals
- Title not available (Why is that?)
- On minimizing the ruin probability by investment and reinsurance
- Mean-variance portfolio selection for a non-life insurance company
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Exponential inequalities for ruin probabilities in the Cox case
- Lundberg inequalities for a Cox model with a piecewise constant intensity
- On time-inconsistent stochastic control in continuous time
- A dynamic contagion process
- Finite-time Lundberg inequalities in the Cox case
- Alpha-robust mean-variance reinsurance-investment strategy
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Ruin by dynamic contagion claims
- Equilibrium strategies for the mean-variance investment problem over a random horizon
Cited In (13)
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal claim-dependent proportional reinsurance under a self-exciting claim model
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading
- Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market
- Optimal investment and reinsurance strategies for an insurer with stochastic economic factor
- Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process
- Mean-variance portfolio selection in contagious markets
- A continuous-time model of self-protection
- Pareto-optimal reinsurance with default risk and solvency regulation
- Optimal reinsurance design under solvency constraints
- Optimal reinsurance via BSDEs in a partially observable model with jump clusters
This page was built for publication: Optimal reinsurance-investment strategy for a dynamic contagion claim model
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q784437)
