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Optimal investment and risk control policies for an insurer: Expected utility maximization
16 references·2 citing·36 second hop
Optimal investment and risk control policies for an insurer: Expected utility maximization (2014)Optimal investment and risk control polic…EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009)EXPLICIT SOLUTIONS OF CONSUMP…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Optimal reinsurance under mean-variance premium principles (2001)Optimal reinsurance under mea…Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal Proportional Reinsura…Optimal risk and dividend distribution control models for an insurance company (2000)Optimal risk and dividend dis…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Lectures on the Mathematics of Finance (1996)Lectures on the Mathematics o…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…Martingales and stochastic integrals in the theory of continuous trading (1981)Martingales and stochastic in…Martingales and arbitrage in multiperiod securities markets (1979)Martingales and arbitrage in …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Optimal investment and risk control for an insurer with stochastic factor (2017)Optimal investment and risk c…Optimal investment and risk control for an insurer under inside information (2016)Optimal investment and risk c…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Theory of Rational Option Pricing (1973)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Modeling Term Structures of Defaultable Bonds (1999)Theory of rational option pricing (2005)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal investment for insurers (2000)Exponential Hedging and Entropic Penalties (2002)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Option pricing: A simplified approach (1979)Good News and Bad News: Representation Theorems and Applications (1981)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)Controlled diffusion models for optimal dividend pay-out (1997)Partial Differential Equations (2010)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1979Martingales and arbitrage in multiperiod securities markets3,595 cited
  • 1981Martingales and stochastic integrals in the theory of continuous trading2,837 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1998Methods of Mathematical Finance888 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting271 cited
  • 2001Optimal reinsurance under mean-variance premium principles190 cited
  • 1996Lectures on the Mathematics of Finance180 cited
  • 2000Optimal risk and dividend distribution control models for an insurance company176 cited

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  • 2009EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING144 cited
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    • 2016Optimal investment and risk control for an insurer under inside information30 cited
    • 2017Optimal investment and risk control for an insurer with stochastic factor26 cited