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Optimal investment for an insurer: The martingale approach
16 references·16 citing·34 second hopsampled
Optimal investment for an insurer: The martingale approach (2006)Optimal investment for an insurer: The ma…A Guided Tour through Quadratic Hedging Approaches (2010)A Guided Tour through Quadrat…Optimal investment for insurer with jump-diffusion risk process (2005)Optimal investment for insure…CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)CONTINUOUS‐TIME MEAN‐VARIANCE…Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Markowitz's Mean-Variance Por…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Dynamic Mean-Variance Portfol…Optimal investment for insurers (2000)Optimal investment for insure…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Foundations for Financial Economics. (1989)Foundations for Financial Eco…Foundations for Financial Economics (1988)Foundations for Financial Eco…An Analytic Derivation of the Efficient Portfolio Frontier (1972)An Analytic Derivation of the…Portfolio Selection (1952)Portfolio SelectionOptimal mean–variance investment and reinsurance problem for an insurer with stochastic volatility (2018)Optimal mean–variance investm…Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model (2017)Optimal investment strategies…Optimal investment and risk control for an insurer with stochastic factor (2017)Optimal investment and risk c…Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security (2016)Time-consistent investment-re…Optimal investment and risk control for an insurer under inside information (2016)Optimal investment and risk c…Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014)Optimal reinsurance and inves…Optimal investment and risk control policies for an insurer: Expected utility maximization (2014)Optimal investment and risk c…Optimal reinsurance–investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model (2013)Optimal reinsurance–investmen…Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer (2013)Dynamic mean-variance and opt…Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer (2012)Optimal Mean-Variance Problem…COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS (2012)COMPARISON OF MEAN VARIANCE L…Portfolio selection problem with multiple risky assets under the constant elasticity of variance model (2011)Portfolio selection problem w…Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market (2010)Optimal consumption, investme…Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous time mean variance asset allocation (2009)Numerical solution of the Ham…Mean-variance portfolio selection for a non-life insurance company (2007)Mean-variance portfolio selec…Mean-variance portfolio selection and efficient frontier for defined contribution pension schemes (2007)Mean-variance portfolio selec…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Portfolio Selection: Efficient Diversification of Investments (1959)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits (2004)Controlled Markov Processes and Viscosity Solutions (2005)A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance (2017)Adapted solution of a backward stochastic differential equation (1990)Dynamic Mean-Variance Asset Allocation (2010)MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)Martingales and arbitrage in multiperiod securities markets (1979)Convex Duality in Constrained Portfolio Optimization (1992)Dynamic Programming and Pricing of Contingent Claims in an Incomplete Market (1995)An Equilibrium Model with Restricted Stock Market Participation (1998)A Note on Uncertainty and Indifference Curves (1969)An Intertemporal Capital Asset Pricing Model (1973)A critique of the asset pricing theory's tests Part I: On past and potential testability of the theory (1977)Theory of Financial Decision Making. (1988)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Risk Aversion in the Small and in the Large (1976)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)Option‐Implied Risk Aversion Estimates (2004)Financial liberalization, private investment and portfolio choice: Financialization of real sectors in emerging markets (2008)An intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)Conditional value-at-risk for general loss distributions (2002)The Capital Asset Pricing Model: Theory and Evidence (2004)
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References

  • 1952Portfolio Selection4,609 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1972An Analytic Derivation of the Efficient Portfolio Frontier1,039 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1999The asymptotic elasticity of utility functions and optimal investment in incomplete markets948 cited
  • 1989Foundations for Financial Economics.831 cited
  • 1991Martingale and Duality Methods for Utility Maximization in an Incomplete Market797 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2003Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model507 cited
  • 1988Foundations for Financial Economics492 cited
  • 2010A Guided Tour through Quadratic Hedging Approaches490 cited
  • 2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION339 cited
  • 2000Optimal investment for insurers305 cited
  • 2005Optimal investment for insurer with jump-diffusion risk process

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295 cited
  • 2002Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints293 cited
  • Cited by

    • 2014Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks78 cited
    • 2016Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security74 cited
    • 2014Optimal investment and risk control policies for an insurer: Expected utility maximization65 cited
    • 2007Mean-variance portfolio selection for a non-life insurance company63 cited
    • 2012Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer61 cited
    • 2009Numerical solution of the Hamilton–Jacobi–Bellman formulation for continuous time mean variance asset allocation57 cited
    • 2013Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer53 cited
    • 2013Optimal reinsurance–investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model45 cited
    • 2017Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model40 cited
    • 2011Portfolio selection problem with multiple risky assets under the constant elasticity of variance model39 cited
    • 2018Optimal mean–variance investment and reinsurance problem for an insurer with stochastic volatility36 cited
    • 2007Mean-variance portfolio selection and efficient frontier for defined contribution pension schemes32 cited
    • 2016Optimal investment and risk control for an insurer under inside information30 cited
    • 2017Optimal investment and risk control for an insurer with stochastic factor26 cited
    • 2010Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market26 cited
    • 2012COMPARISON OF MEAN VARIANCE LIKE STRATEGIES FOR OPTIMAL ASSET ALLOCATION PROBLEMS22 cited