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Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection · Study

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ArticleOptimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

Lihua Bai2010

Article2010

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

Lihua Bai · Junyi Guo

49 citations·0/0 files stored·Science China Mathematics

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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 1994Controlled markov processes and viscosity solutions 1979An introduction to mathematical risk theory 1991Aspects of Risk Theory 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift 2005Optimal investment for insurer with jump-diffusion risk process 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting

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2015Optimal investment and proportional reinsurance for a jump–diffusion risk model with constrained control variables 2017Optimality of excess-loss reinsurance under a mean–variance criterion 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models 2018Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model

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2011Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck processarticle · 11 shared references 2011Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk modelarticle · 11 shared references 2010Optimal Risk Control for The Excess of Loss Reinsurance Policiesarticle · 10 shared references 2012Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV modelarticle · 9 shared references 2013Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston modelarticle · 9 shared references 2014Optimal reinsurance and investment with unobservable claim size and intensityarticle · 9 shared references

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Year2010

Typearticle

Published2010-06-28

VenueScience China Mathematics

ISSN-L1869-1862

Languageen

Citations49

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s11425-010-4033-4

openalex_workW1990875175

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