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A BSDE approach to a risk-based optimal investment of an insurer
16 references·8 citing·32 second hop
A BSDE approach to a risk-based optimal investment of an insurer (2010)A BSDE approach to a risk-based optimal i…Backward stochastic differential equations and quasilinear parabolic partial differential equations (2005)Backward stochastic different…Putting order in risk measures (2002)Putting order in risk measuresConvex measures of risk and trading constraints (2002)Convex measures of risk and t…Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Value-at-Risk-Based Risk Mana…Coherent Measures of Risk (1999)Coherent Measures of RiskBackward Stochastic Differential Equations in Finance (1997)Backward Stochastic Different…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Aspects of Risk Theory (1991)Aspects of Risk TheoryStochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…Stochastic Differential Equations and Applications (1976)Stochastic Differential Equat…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Mathematical Methods in Risk Theory. (1971)Mathematical Methods in Risk …Mathematical Methods in Risk Theory (1970)Mathematical Methods in Risk …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Household consumption-investment-insurance decisions with uncertain income and market ambiguity (2021)Household consumption-investm…Two-player zero-sum stochastic differential games with regime switching (2020)Two-player zero-sum stochasti…Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case (2019)Continuous-Time Portfolio Cho…Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model (2018)Time-consistent investment an…Linear quadratic mean-field-game of backward stochastic differential systems (2018)Linear quadratic mean-field-g…A class of nonzero-sum investment and reinsurance games subject to systematic risks (2016)A class of nonzero-sum invest…A Nonzero Sum Differential Game of BSDE With Time-Delayed Generator and Applications (2015)A Nonzero Sum Differential Ga…Portfolio optimization under model uncertainty and BSDE games (2011)Portfolio optimization under …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)An Intertemporal Capital Asset Pricing Model (1973)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)The Pricing of Options and Corporate Liabilities (1973)Reflected solutions of backward SDE's, and related obstacle problems for PDE's (1997)Backward stochastic differential equations and partial differential equations with quadratic growth (2000)Theory of rational option pricing (2005)Brownian Motion and Stochastic Calculus (2007)Partial Differential Equations (2010)Asset Prices in an Exchange Economy (1978)Testing Density Forecasts, With Applications to Risk Management (2001)How Accurate Are Value‐at‐Risk Models at Commercial Banks? (2002)Extreme Value Dependence in Financial Markets: Diagnostics, Models, and Financial Implications (2003)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Theory and Applications of Robust Optimization (2010)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)Myopic Loss Aversion and the Equity Premium Puzzle (1993)International Asset Allocation With Regime Shifts (2002)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1999Coherent Measures of Risk8,849 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
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  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1991Aspects of Risk Theory902 cited
  • 2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices834 cited
  • 2005Backward stochastic differential equations and quasilinear parabolic partial differential equations782 cited
  • 1970Mathematical Methods in Risk Theory718 cited
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  • 1986Stochastic Calculus and Applications.673 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 1971

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Mathematical Methods in Risk Theory.
494 cited

Cited by

  • 2016A class of nonzero-sum investment and reinsurance games subject to systematic risks38 cited
  • 2011Portfolio optimization under model uncertainty and BSDE games37 cited
  • 2021Household consumption-investment-insurance decisions with uncertain income and market ambiguity36 cited
  • 2018Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model32 cited
  • 2018Linear quadratic mean-field-game of backward stochastic differential systems30 cited
  • 2015A Nonzero Sum Differential Game of BSDE With Time-Delayed Generator and Applications27 cited
  • 2020Two-player zero-sum stochastic differential games with regime switching23 cited
  • 2019Continuous-Time Portfolio Choice Under Monotone Mean-Variance Preferences—Stochastic Factor Case23 cited