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Optimal reinsurance–investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model
16 references·3 citing·34 second hop
Optimal reinsurance–investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model (2013)Optimal reinsurance–investment problem fo…Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model (2012)Optimal control of excess-of-…Constant elasticity of variance model for proportional reinsurance and investment strategies (2010)Constant elasticity of varian…Optimal portfolios for DC pension plans under a CEV model (2009)Optimal portfolios for DC pen…Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model (2009)Optimal investment strategy f…Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal proportional reinsura…On reinsurance and investment for large insurance portfolios (2007)On reinsurance and investment…The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts (2006)The constant elasticity of va…Optimal investment for an insurer: The martingale approach (2006)Optimal investment for an ins…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…Pricing and Hedging Path-Dependent Options Under the CEV Process (2001)Pricing and Hedging Path-Depe…Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal Proportional Reinsura…Optimal investment for insurers (2000)Optimal investment for insure…The Constant Elasticity of Variance Option Pricing Model (1996)The Constant Elasticity of Va…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…The valuation of options for alternative stochastic processes (1976)The valuation of options for …Robust reinsurance contracts with risk constraint (2019)Robust reinsurance contracts …Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model (2017)Optimal investment strategies…Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models (2014)Time-Consistent Investment-Re…The Cost of Capital, Corporation Finance and the Theory of Investment (1958)The Pricing of Options and Corporate Liabilities (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Option pricing: A simplified approach (1979)The Pricing of Options on Assets with Stochastic Volatilities (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)An introduction to mathematical risk theory (1979)Controlled markov processes and viscosity solutions (1994)Controlled Markov Processes and Viscosity Solutions (2005)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Stochastic optimal control of DC pension funds (2008)Stochastic Differential Equations: Theory and Applications. (1976)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)Modelling of extremal events in insurance and finance (1994)Optimality results for dividend problems in insurance (2009)Theory of Rational Option Pricing (1973)ANNIVERSARY ARTICLE: Option Pricing: Valuation Models and Applications (2004)A jump to default extended CEV model: an application of Bessel processes (2006)Option Pricing Under a Mixed-Exponential Jump Diffusion Model (2011)Financial Modelling with Jump Processes (2003)A class of non-zero-sum stochastic differential investment and reinsurance games (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)Exponential Hedging and Entropic Penalties (2002)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Aspects of Risk Theory (1991)Stochastic Processes for Insurance and Finance (2001)OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005)Transition Densities for Interest Rate and Other Nonlinear Diffusions (1999)Do option markets correctly price the probabilities of movement of the underlying asset? (2001)
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References

  • 1976The valuation of options for alternative stochastic processes2,935 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 1996The Constant Elasticity of Variance Option Pricing Model376 cited
  • 2001Pricing and Hedging Path-Dependent Options Under the CEV Process343 cited
  • 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
  • 2000Optimal investment for insurers305 cited
  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
  • 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting271 cited
  • 2007Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint233 cited
  • 2006The constant elasticity of variance (CEV) model and the Legendre transform–dual solution for annuity contracts127 cited
  • 2009Optimal portfolios for DC pension plans under a CEV model119 cited
  • 2012Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model115 cited
  • 2010Constant elasticity of variance model for proportional reinsurance and investment strategies115 cited
  • 2007On reinsurance and investment for large insurance portfolios106 cited

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  • 2006Optimal investment for an insurer: The martingale approach101 cited
  • 2009Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model83 cited
  • Cited by

    • 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models42 cited
    • 2017Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model40 cited
    • 2019Robust reinsurance contracts with risk constraint33 cited