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

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1981Point Processes and Queues1,652 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 1991Aspects of Risk Theory902 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 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
  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints293 cited
  • 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting271 cited
  • 1986Optimal Control with State-Space Constraint. II236 cited
  • 2005Benchmark and mean-variance problems for insurers175 cited
  • 2003A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control124 cited

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Cited by

  • 2015Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process123 cited
  • 2013Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps102 cited
  • 2010Optimal investment–reinsurance policy for an insurance company with VaR constraint91 cited
  • 2014Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach85 cited
  • 2014Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria80 cited
  • 2014Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks78 cited
  • 2016Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling75 cited
  • 2016Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security74 cited
  • 2013Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion70 cited
  • 2015Time-consistent reinsurance–investment strategy for an insurer and a reinsurer with mean–variance criterion under the CEV model69 cited
  • 2010A Hamilton–Jacobi–Bellman approach to optimal trade execution66 cited
  • 2013Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model63 cited
  • 2018Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets62 cited
  • 2012Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer61 cited
  • 2014Mean–variance efficiency of DC pension plan under stochastic interest rate and mean-reverting returns61 cited
  • 2015Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model60 cited