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Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps
16 references·16 citing·33 second hopsampled
Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps (2013)Time-consistent investment and reinsuranc…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Merton, Robert C. (2010)Merton, Robert C.Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A General Theory of Markovian…Investment and consumption without commitment (2008)Investment and consumption wi…CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)CONTINUOUS‐TIME MEAN‐VARIANCE…Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation (2000)Optimal risk control and divi…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…Aspects of Risk Theory (1991)Aspects of Risk TheoryOption pricing when underlying stock returns are discontinuous (1976)Option pricing when underlyin…Myopia and Inconsistency in Dynamic Utility Maximization (1973)Myopia and Inconsistency in D…Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in D…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors (2020)The surprising robustness of …Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (2018)Optimal investment–reinsuranc…Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model (2018)Optimal excess-of-loss reinsu…Optimality of excess-loss reinsurance under a mean–variance criterion (2017)Optimality of excess-loss rei…Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security (2016)Time-consistent investment-re…Robust reinsurance contracts in continuous time (2016)Robust reinsurance contracts …Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model (2016)Precommitment and equilibrium…Alpha-robust mean-variance reinsurance-investment strategy (2016)Alpha-robust mean-variance re…Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk (2015)Time-consistent reinsurance–i…Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information (2015)Time-consistent reinsurance a…Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model (2015)Optimal investment and excess…Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models (2014)Time-Consistent Investment-Re…Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014)Optimal reinsurance and inves…Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach (2014)Optimal investment–reinsuranc…Optimal dividend strategies with time-inconsistent preferences (2014)Optimal dividend strategies w…Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013)Optimal time-consistent inves…The Pricing of Options and Corporate Liabilities (1973)Theory of Rational Option Pricing (1973)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Bank competition and financial stability in Asia Pacific (2013)Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables (2013)How does competition affect bank systemic risk? 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(1989)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option pricing: A simplified approach (1979)The Value of Waiting to Invest (1982)The Pricing of Options on Assets with Stochastic Volatilities (1987)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)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)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)The Framing of Decisions and the Psychology of Choice (1981)Golden Eggs and Hyperbolic Discounting (1997)Time Discounting and Time Preference: A Critical Review (2002)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? 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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1976Option pricing when underlying stock returns are discontinuous5,965 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2000Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation994 cited
  • 1991Aspects of Risk Theory902 cited
  • 2010Merton, Robert C.812 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems343 cited
  • 2005CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION339 cited
  • 2008Investment and consumption without commitment285 cited
  • 2000Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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Cited by

  • 2014Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach85 cited
  • 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
  • 2013Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion70 cited
  • 2014Optimal dividend strategies with time-inconsistent preferences67 cited
  • 2016Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model63 cited
  • 2018Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets62 cited
  • 2015Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model57 cited
  • 2016Alpha-robust mean-variance reinsurance-investment strategy55 cited
  • 2015Time-consistent reinsurance and investment strategies for mean–variance insurer under partial information48 cited
  • 2020The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors46 cited
  • 2017Optimality of excess-loss reinsurance under a mean–variance criterion44 cited
  • 2014Time-Consistent Investment-Reinsurance Strategies Towards Joint Interests of the Insurer and the Reinsurer Under CEV Models42 cited
  • 2015Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk41 cited
  • 2018Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model41 cited
  • 2016Robust reinsurance contracts in continuous time40 cited