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Optimal reinsurance and investment problem for an insurer with counterparty risk · Study

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ArticleOptimal reinsurance and investment problem for an insurer with counterparty risk

Huiming Zhu2015

Article2015

Optimal reinsurance and investment problem for an insurer with counterparty risk

Huiming Zhu · Chao Deng · Shengjie Yue · Yingchun Deng

56 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 2005Controlled Markov Processes and Viscosity Solutions 1999Modeling Term Structures of Defaultable Bonds 1991Continuous-Time Finance.1989Optimal consumption and portfolio policies when asset prices follow a diffusion process 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach

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2018Robust non-zero-sum investment and reinsurance game with default risk 2015Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk 2019Optimal proportional reinsurance and investment for stochastic factor models

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Year2015

Typearticle

Published2015-02-10

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations56

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2015.01.013

openalex_workW2060173475

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