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On reinsurance and investment for large insurance portfolios · Study

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ArticleOn reinsurance and investment for large insurance portfolios

Shangzhen Luo2007

Article2007

On reinsurance and investment for large insurance portfolios

Shangzhen Luo · Michael Taksar · Allanus H. Tsoi

106 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

2005Controlled Markov Processes and Viscosity Solutions 1999Stochastic controls : Hamiltonian systems and HJB equations 1994Controlled markov processes and viscosity solutions 2002On minimizing the ruin probability by investment and reinsurance 2000Optimal investment for insurers 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting 1997Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time 1998Optimal proportional reinsurance policies for diffusion models

Cited by

2011Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process 2014Optimal reinsurance and investment with unobservable claim size and intensity 2010Optimal investment–reinsurance policy for an insurance company with VaR constraint 2011Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model 2015Optimal reinsurance and investment problem for an insurer with counterparty risk

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Year2007

Typearticle

Published2007-05-19

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations106

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2007.04.002

openalex_workW1968457222

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2016

Robust non-zero-sum stochastic differential reinsurance game

2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims

2010Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection