Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
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Publication:896745
DOI10.1016/J.INSMATHECO.2015.08.008zbMATH Open1348.91168OpenAlexW1609731255MaRDI QIDQ896745FDOQ896745
Publication date: 14 December 2015
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.08.008
regime switchingpartial informationmean-variance criteriontime-consistent strategyequilibrium control lawinvestment-reinsurance
Cites Work
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Cited In (37)
- Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
- On the Distribution of Terminal Wealth under Dynamic Mean-Variance Optimal Investment Strategies
- Constrained mean-variance portfolio optimization for jump-diffusion process under partial information
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Mean-variance asset–liability management with partial information and uncertain time horizon
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
- Equilibrium and precommitment mean-variance portfolio selection problem with partially observed price index and multiple assets
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- Title not available (Why is that?)
- Optimal hedging with basis risk under mean-variance criterion
- Derivatives trading for insurers
- Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure
- Conditional LQ time-inconsistent Markov-switching stochastic optimal control problem for diffusion with jumps
- Title not available (Why is that?)
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Optimal investment problem with delay under partial information
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- PRACTICAL INVESTMENT CONSEQUENCES OF THE SCALARIZATION PARAMETER FORMULATION IN DYNAMIC MEAN–VARIANCE PORTFOLIO OPTIMIZATION
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- Optimal investment and consumption strategies for pooled annuity with partial information
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- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation
- Optimal investment strategy for an insurer with partial information in capital and insurance markets
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- ON ROBUST MULTI-PERIOD PRE-COMMITMENT AND TIME-CONSISTENT MEAN-VARIANCE PORTFOLIO OPTIMIZATION
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Title not available (Why is that?)
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
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- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
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- A hybrid reinsurance-investment game with delay and asymmetric information
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