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Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
7 references·16 citing·34 second hop
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal proportional reinsurance and inve…Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA) (2005)Real Longevity Insurance with…Optimal investment for insurer with jump-diffusion risk process (2005)Optimal investment for insure…Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Minimizing the Probability of…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…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…An introduction to mathematical risk theory (1979)An introduction to mathematic…Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps (2019)Robust optimal proportional r…Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security (2016)Time-consistent investment-re…Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling (2016)Optimal investment and reinsu…Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model (2015)Robust optimal portfolio and …Optimal reinsurance and investment with unobservable claim size and intensity (2014)Optimal reinsurance and inves…Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014)Optimal reinsurance and inves…Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach (2014)Optimal investment–reinsuranc…Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Robust optimal control for an…Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013)Optimal time-consistent inves…Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting (2013)Optimal reinsurance policies …Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model (2013)Optimal excess-of-loss reinsu…Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model (2012)Optimal control of excess-of-…Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Optimal time-consistent inves…Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimal time-consistent inves…Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model (2011)Optimal Reinsurance and Inves…Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process (2011)Optimal proportional reinsura…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)PORTFOLIO SELECTION* (1952)Myopia and Inconsistency in Dynamic Utility Maximization (1955)Expected stock returns and volatility (1987)Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014)Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process (2015)Stochastic Differential Equations: Theory and Applications. 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this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1979An introduction to mathematical risk theory914 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
  • 2005Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)177 cited

Cited by

  • 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers216 cited
  • 2011Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model154 cited
  • 2013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model154 cited
  • 2012Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model115 cited
  • 2013Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model109 cited
  • 2019Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps107 cited

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  • 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
  • 2014Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach85 cited
  • 2013Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting83 cited
  • 2011Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model81 cited
  • 2015Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model80 cited
  • 2014Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks78 cited
  • 2016Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling75 cited
  • 2016Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security74 cited
  • 2013Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion70 cited