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Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling
16 references·6 citing·32 second hop
Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling (2016)Optimal investment and reinsurance strate…Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2015)Robust equilibrium reinsuranc…Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process (2015)Optimal investment–reinsuranc…Optimal reinsurance and investment with unobservable claim size and intensity (2014)Optimal reinsurance and inves…Optimal dynamic reinsurance with dependent risks: variance premium principle (2014)Optimal dynamic reinsurance w…Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Robust optimal control for an…Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimal time-consistent inves…Optimal investment–reinsurance policy for an insurance company with VaR constraint (2010)Optimal investment–reinsuranc…Dynamic mean-variance problem with constrained risk control for the insurers (2008)Dynamic mean-variance problem…Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal proportional reinsura…Optimal investment for insurer with jump-diffusion risk process (2005)Optimal investment for insure…Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Minimizing the Probability of…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Benchmark and mean-variance problems for insurers (2005)Benchmark and mean-variance p…Optimal investment for insurers (2000)Optimal investment for insure…A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients (1992)A Duality Method for Optimal …Aspects of Risk Theory (1991)Aspects of Risk TheoryRobust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game (2021)Robust reinsurance contract w…Reinsurance–investment game between two mean–variance insurers under model uncertainty (2020)Reinsurance–investment game b…Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility (2019)Open-loop equilibrium reinsur…STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE (2018)STOCHASTIC DIFFERENTIAL GAMES…Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities (2018)Robust optimal investment and…Robust non-zero-sum investment and reinsurance game with default risk (2018)Robust non-zero-sum investmen…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)An introduction to mathematical risk theory (1979)Controlled markov processes and viscosity solutions (1994)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Stochastic Differential Equations: Theory and Applications. (1976)Brownian motion and stochastic calculus (1991)Modelling of extremal events in insurance and finance (1994)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimality results for dividend problems in insurance (2009)Portfolio Selection (1952)Myopia and Inconsistency in Dynamic Utility Maximization (1955)Myopia and Inconsistency in Dynamic Utility Maximization (1973)Expected stock returns and volatility (1987)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework (2014)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Applied Stochastic Control of Jump Diffusions (2005)Financial Modelling with Jump Processes (2003)A class of non-zero-sum stochastic differential investment and reinsurance games (2014)A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)Robust Portfolio Rules and Asset Pricing (2004)Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps (2017)Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility (2018)Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps (2019)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1991Aspects of Risk Theory902 cited
  • 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
  • 2000Optimal investment for insurers305 cited
  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
  • 2007Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint233 cited
  • 2011Optimal time-consistent investment and reinsurance policies for mean-variance insurers216 cited
  • 2005Benchmark and mean-variance problems for insurers175 cited
  • 2013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model154 cited
  • 2015Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps151 cited
  • 2008Dynamic mean-variance problem with constrained risk control for the insurers129 cited
  • 1992A Duality Method for Optimal Consumption and Investment Under Short- Selling Prohibition. I. General Market Coefficients127 cited
  • 2014Optimal dynamic reinsurance with dependent risks: variance premium principle126 cited
  • 2015Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process123 cited

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  • 2014Optimal reinsurance and investment with unobservable claim size and intensity92 cited
  • 2010Optimal investment–reinsurance policy for an insurance company with VaR constraint91 cited
  • Cited by

    • 2021Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game59 cited
    • 2018Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities56 cited
    • 2018Robust non-zero-sum investment and reinsurance game with default risk42 cited
    • 2020Reinsurance–investment game between two mean–variance insurers under model uncertainty40 cited
    • 2018STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE39 cited
    • 2019Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility32 cited