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ArticleDynamic mean-variance problem with constrained risk control for the insurers

Lihua Bai2008

Article2008

Dynamic mean-variance problem with constrained risk control for the insurers

Lihua Bai · Huayue Zhang

129 citations·0/0 files stored·Mathematical Methods of Operations Research

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Probability and Risk Models Stochastic processes and financial applications Risk and Portfolio Optimization

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References

2005Controlled Markov Processes and Viscosity Solutions 1981Point Processes and Queues 1972An Analytic Derivation of the Efficient Portfolio Frontier 1994Controlled markov processes and viscosity solutions 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 1991Aspects of Risk Theory 2005Applied Stochastic Control of Jump Diffusions 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

Cited by

2015Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process 2013Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps 2010Optimal investment–reinsurance policy for an insurance company with VaR constraint 2014Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach 2014Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria

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Year2008

Typearticle

Published2008-01-07

VenueMathematical Methods of Operations Research

ISSN-L1432-2994

Languageen

Citations129

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1007/s00186-007-0195-4

openalex_workW2017885867

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2014

Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks

2016Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling

2016Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security