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Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
16 references·4 citing·31 second hop
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127 cited
  • 2007On reinsurance and investment for large insurance portfolios106 cited
  • 1992A Duality Method for Optimal Consumption and Investment Under Short-Selling Prohibition. II. Constant Market Coefficients57 cited
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    • 2017Optimality of excess-loss reinsurance under a mean–variance criterion44 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