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ArticleOptimal investment for insurer with jump-diffusion risk process

Hailiang Yang2005

Article2005

Optimal investment for insurer with jump-diffusion risk process

295 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

2007Brownian Motion and Stochastic Calculus 1994Modelling of extremal events in insurance and finance 2003Financial Modelling with Jump Processes 2005Controlled Markov Processes and Viscosity Solutions 1980Controlled Diffusion Processes 1994Controlled markov processes and viscosity solutions 1989Brownian Motion and Stochastic Calculus.1989Foundations for Financial Economics.

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2007Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers 2014A class of non-zero-sum stochastic differential investment and reinsurance games 2011Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model 2013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model 2008Dynamic mean-variance problem with constrained risk control for the insurers

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Year2005

Typearticle

Published2005-08-11

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations295

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2005.06.009

openalex_workW2118573305

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2014Optimal dynamic reinsurance with dependent risks: variance premium principle

2018ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER