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Optimal investment for an insurer: The martingale approach · Study

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ArticleOptimal investment for an insurer: The martingale approach

Zengwu Wang2006

Article2006

Optimal investment for an insurer: The martingale approach

Zengwu Wang · Jianming Xia

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

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Probability and Risk Models Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1952Portfolio Selection 2003Financial Modelling with Jump Processes 1972An Analytic Derivation of the Efficient Portfolio Frontier 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets 1989Foundations for Financial Economics.1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market

Cited by

2014Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks 2016Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security 2014Optimal investment and risk control policies for an insurer: Expected utility maximization 2007Mean-variance portfolio selection for a non-life insurance company 2012Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer

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Year2006

Typearticle

Published2006-07-06

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations101

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2006.05.003

openalex_workW2071292843

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2009

Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous time mean variance asset allocation

2013Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer

2013Optimal reinsurance–investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model