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The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts

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References

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2012On efficiency of mean–variance based portfolio selection in defined contribution pension schemes106 cited
2009Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model

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83 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

2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model63 cited

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2011Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model59 cited

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

2014Mean–variance portfolio selection under a constant elasticity of variance model44 cited

2018Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model41 cited

2017Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model40 cited