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Time-consistent reinsurance–investment strategy for an insurer and a reinsurer with mean–variance criterion under the CEV model

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References

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2009

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Optimal portfolios for DC pension plans under a CEV model

119 cited

2012Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model115 cited

Cited by

2018Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities56 cited
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
2019Equilibrium investment strategy for a defined contribution pension plan under stochastic interest rate and stochastic volatility37 cited
2020Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks37 cited
2018Time-consistent mean–variance portfolio optimization: A numerical impulse control approach36 cited