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Optimal reinsurance and investment problem for an insurer with counterparty risk
16 references·5 citing·38 second hop
Optimal reinsurance and investment problem for an insurer with counterparty risk (2015)Optimal reinsurance and investment proble…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Credit Risk: Modeling, Valuation and Hedging (2004)Credit Risk: Modeling, Valuat…Stochastic Processes for Insurance and Finance (2001)Stochastic Processes for Insu…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Modeling Term Structures of Defaultable Bonds (1999)Modeling Term Structures of D…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Controlled markov processes and viscosity solutions (1994)Controlled markov processes a…A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)A Closed-Form Solution for Op…Stock Price Distributions with Stochastic Volatility: An Analytic Approach (1991)Stock Price Distributions wit…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Continuous-Time Finance. (1991)Continuous-Time Finance.Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion (2019)Robust equilibrium excess-of-…Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market (2019)Optimal time-consistent reins…Optimal proportional reinsurance and investment for stochastic factor models (2019)Optimal proportional reinsura…Robust non-zero-sum investment and reinsurance game with default risk (2018)Robust non-zero-sum investmen…Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk (2015)Time-consistent reinsurance–i…VALUING CORPORATE SECURITIES: SOME EFFECTS OF BOND INDENTURE PROVISIONS (1976)Corporate Debt Value, Bond Covenants, and Optimal Capital Structure (1994)Quantitative models for operational risk: Extremes, dependence and aggregation (2006)Multiscale Stochastic Volatility for Equity, Interest Rate, and Credit Derivatives (2011)Structural versus Reduced‐Form Models: A New Information‐Based Perspective (2012)The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Theory of the Term Structure of Interest Rates (1985)The Determinants of Credit Spread Changes (2001)Corporate Yield Spreads: Default Risk or Liquidity? New Evidence from the Credit Default Swap Market (2004)Default Risk in Equity Returns (2004)Theory of Rational Option Pricing (1973)Empirical Performance of Alternative Option Pricing Models (1997)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The Cross‐Section of Volatility and Expected Returns (2006)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)THE GARCH OPTION PRICING MODEL (1995)5 Stochastic volatility (1996)The jump-risk premia implicit in options: evidence from an integrated time-series study (2002)An Engine, Not a Camera (2006)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)
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References

  • 1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1999Modeling Term Structures of Defaultable Bonds2,547 cited
  • 1991Continuous-Time Finance.1,788 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1991Stock Price Distributions with Stochastic Volatility: An Analytic Approach1,507 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 2004Credit Risk: Modeling, Valuation and Hedging1,064 cited
  • 1994Controlled markov processes and viscosity solutions1,024 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 2001Stochastic Processes for Insurance and Finance839 cited
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  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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607 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
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    • 2018Robust non-zero-sum investment and reinsurance game with default risk42 cited
    • 2015Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk41 cited
    • 2019Optimal proportional reinsurance and investment for stochastic factor models38 cited
    • 2019Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market31 cited
    • 2019Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion31 cited