Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

On reinsurance and investment for large insurance portfolios

9 references·11 citing·35 second hop

FromToDepth

this work references cited by second hop

References

2005Controlled Markov Processes and Viscosity Solutions2,698 cited
1999Stochastic controls : Hamiltonian systems and HJB equations1,780 cited
1994Controlled markov processes and viscosity solutions1,024 cited
2002On minimizing the ruin probability by investment and reinsurance333 cited
2000Optimal investment for insurers305 cited
2001Optimal Proportional Reinsurance Policies in a Dynamic Setting271 cited
1997Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time156 cited
1998Optimal proportional reinsurance policies for diffusion models144 cited
2003Optimal dynamic reinsurance policies for large insurance portfolios130 cited

Cited by

2011Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process104 cited
2014Optimal reinsurance and investment with unobservable claim size and intensity92 cited
2010Optimal investment–reinsurance policy for an insurance company with VaR constraint91 cited
2011Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model59 cited
2015Optimal reinsurance and investment problem for an insurer with counterparty risk56 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

2016Robust non-zero-sum stochastic differential reinsurance game52 cited

2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims51 cited

2010Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection49 cited

2013Optimal reinsurance–investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model45 cited

2019Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model45 cited

2016Optimal asset–liability management with liquidity constraints and stochastic interest rates in the expected utility framework29 cited