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Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach
16 references·13 citing·34 second hop
Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach (2014)Optimal investment–reinsurance with delay…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 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 proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal proportional reinsura…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…Benchmark and mean-variance problems for insurers (2005)Benchmark and mean-variance p…On minimizing the ruin probability by investment and reinsurance (2002)On minimizing the ruin probab…Some Solvable Stochastic Control Problems With Delay (2000)Some Solvable Stochastic Cont…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Optimal proportional reinsurance policies for diffusion models (1998)Optimal proportional reinsura…Backward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Aspects of Risk Theory (1991)Aspects of Risk TheoryPORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework (2023)Optimal reinsurance-investmen…Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process (2021)Mean–variance investment and …A hybrid stochastic differential reinsurance and investment game with bounded memory (2021)A hybrid stochastic different…A global maximum principle for stochastic optimal control problems with delay and applications (2021)A global maximum principle fo…Dynamic asset-liability management problem in a continuous-time model with delay (2020)Dynamic asset-liability manag…A Stackelberg reinsurance–investment game with asymmetric information and delay (2020)A Stackelberg reinsurance–inv…Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market (2019)Optimal time-consistent reins…Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model (2018)Optimal excess-of-loss reinsu…Time-Consistent Investment Strategy for DC Pension Plan with Stochastic Salary Under CEV Model (2016)Time-Consistent Investment St…Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity (2016)Optimal reinsurance and inves…Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model (2015)Optimal investment and excess…Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models (2014)Time-Consistent Investment-Re…Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach (2014)Optimal control of mean-field…An introduction to mathematical risk theory (1979)Controlled markov processes and viscosity solutions (1994)Controlled Markov Processes and Viscosity Solutions (2005)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Stochastic Differential Equations: Theory and Applications. 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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1997Backward Stochastic Differential Equations in Finance2,339 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1991Aspects of Risk Theory902 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2002On minimizing the ruin probability by investment and reinsurance333 cited
  • 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
  • 2007Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint233 cited
  • 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers216 cited
  • 2005Benchmark and mean-variance problems for insurers175 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

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  • 2000Some Solvable Stochastic Control Problems With Delay149 cited
  • 1998Optimal proportional reinsurance policies for diffusion models144 cited
  • Cited by

    • 2021A hybrid stochastic differential reinsurance and investment game with bounded memory67 cited
    • 2015Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model57 cited
    • 2014Optimal control of mean-field jump-diffusion systems with delay: A stochastic maximum principle approach56 cited
    • 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models42 cited
    • 2018Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model41 cited
    • 2016Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity37 cited
    • 2020A Stackelberg reinsurance–investment game with asymmetric information and delay35 cited
    • 2020Dynamic asset-liability management problem in a continuous-time model with delay33 cited
    • 2019Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market31 cited
    • 2023Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework31 cited
    • 2016Time-Consistent Investment Strategy for DC Pension Plan with Stochastic Salary Under CEV Model23 cited
    • 2021A global maximum principle for stochastic optimal control problems with delay and applications22 cited
    • 2021Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process21 cited