Benchmark and mean-variance problems for insurers
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Cited in
(only showing first 100 items - show all)- Stochastic differential game formulation on the reinsurance and investment problem
- A Stackelberg reinsurance-investment game under Heston's stochastic volatility model
- Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market
- The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Continuous time mean-variance optimal portfolio allocation under jump diffusion: an numerical impulse control approach
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal mean-variance reinsurance with common shock dependence
- A Bayesian approach for optimal reinsurance and investment in a diffusion model
- Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
- Optimal portfolio problem for an insurer under mean-variance criteria with jump-diffusion stochastic volatility model
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- Optimal reinsurance-investment problem for two competitive or cooperative insurers under two investment patterns
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
- Alpha-robust mean-variance reinsurance-investment strategy
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Stochastic differential reinsurance and investment games with delay under VaR constraints⋆
- Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process
- Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint
- Equilibrium strategies for the mean-variance investment problem over a random horizon
- Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
- Mean-variance portfolio selection for a non-life insurance company
- Optimal mean-variance reinsurance in a financial market with stochastic rate of return
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Continuous-time mean-variance portfolio selection under the CEV process
- Precommitted investment strategy versus time-consistent investment strategy for a general risk model with diffusion
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Asset-liability management under benchmark and mean-variance criteria in a jump diffusion market
- Optimal reinsurance and investment problem with the minimum capital deposit constraint
- Optimal investment and reinsurance for insurers with uncertain time-horizon
- Optimality of excess-loss reinsurance under a mean-variance criterion
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff
- Worst-case investment and reinsurance optimization for an insurer under model uncertainty
- Optimal investment and reinsurance policies for the Cramér–Lundberg risk model under monotone mean-variance preference
- Dynamic mean-variance problem with constrained risk control for the insurers
- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
- Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
- Portfolio selection and risk control for an insurer in the Lévy market under mean-variance criterion
- Convergence of the embedded mean-variance optimal points with discrete sampling
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Maximizing the goal-reaching probability before drawdown with borrowing constraint
- Risk- and value-based management for non-life insurers under solvency constraints
- Robust reinsurance contracts with uncertainty about jump risk
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- Variance minimization and the overtaking optimality approach to continuous-time controlled Markov chains
- Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Derivatives trading for insurers
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
- A pair of optimal reinsurance-investment strategies in the two-sided exit framework
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- The optimal deductible and coverage in insurance contracts and equilibrium risk sharing policies
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- A class of non-zero-sum stochastic differential games between two mean–variance insurers under stochastic volatility
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- A reinsurance game between two insurance companies with nonlinear risk processes
- A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
- Better than pre-commitment mean-variance portfolio allocation strategies: a semi-self-financing Hamilton-Jacobi-Bellman equation approach
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process
- Constrained investment-reinsurance optimization with regime switching under variance premium principle
- A continuous-time theory of reinsurance chains
- Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
- Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
- Martingale method for optimal investment and proportional reinsurance
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
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