Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
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Cites work
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- Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Portfolio optimization with unobservable Markov-modulated drift process
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Utility maximization with partial information
Cited in
(48)- A hybrid reinsurance-investment game with delay and asymmetric information
- Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks
- Asset allocation for a DC pension plan with minimum guarantee constraint and hidden Markov regime-switching
- 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
- Who are I: time inconsistency and intrapersonal conflict and reconciliation
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- On robust multi-period pre-commitment and time-consistent mean-variance portfolio optimization
- Portfolio and reinsurance optimization under unknown market price of risk
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- Time-consistent investment strategy for a DC pension plan with hidden Markov regime switching
- Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
- Derivatives trading for insurers
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- 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
- The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
- Optimal investment strategy for DC pension with mean-weighted variance-CVaR criterion under partial information
- Optimal investment problem with delay under partial information
- scientific article; zbMATH DE number 6874017 (Why is no real title available?)
- Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information
- On the distribution of terminal wealth under dynamic mean-variance optimal investment strategies
- Exponential utility maximization for an insurer with time-inconsistent preferences
- 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
- Mean-variance asset-liability management with partial information and uncertain time horizon
- Time-consistent investment strategy under partial information
- Equilibrium time-consistent strategy for corporate international investment problem with mean-variance criterion
- Optimal reinsurance-investment problem for the insurer and reinsurer with asymmetric information in principal-agent model
- Optimal investment and consumption strategies for pooled annuity with partial information
- Optimal investment and risk control for an insurer with partial information in an anticipating environment
- Optimal deterministic reinsurance and investment for an insurer under mean–variance criterion
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Optimal investment strategy for an insurer with partial information in capital and insurance markets
- The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
- Time-consistent investment and reinsurance strategies under thinning-dependence structure
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- scientific article; zbMATH DE number 7156564 (Why is no real title available?)
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- A general linear quadratic stochastic control and information value
- Time-consistent consumption, investment, and proportional reinsurance in market models with Markovian regime switching
- Practical investment consequences of the scalarization parameter formulation in dynamic mean-variance portfolio optimization
- Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution
- Consumption-investment and reinsurance problem under Markovian regime switching: time-consistent solution
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