SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Optimal investment and reinsurance for an insurer under Markov-modulated financial market · Study

ArticleShelves

ArticleOptimal investment and reinsurance for an insurer under Markov-modulated financial market

Lin Hai Xu2017

Article2017

Optimal investment and reinsurance for an insurer under Markov-modulated financial market

Lin Hai Xu · Liming Zhang · Dingjun Yao

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

No readable copy stored yet — this record is metadata only.

No open-access location is known for this record yet.

Literature note Cite in a project Citation map

Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

Abstract

No abstract was published for this record.

Paper brief

Loading…

Cite this work

Citation unavailable for this work.

BibTeX RIS CSL-JSON

No public copy is stored for this record, so only the metadata is cited.

Citations in this library

Citation map →

Stored only when both papers are in the corpus — 37 citations exist upstream.

References

1987Expected stock returns and volatility 1983Stochastic Differential Equations and Diffusion Processes 2003Financial Modelling with Jump Processes 2000Derivatives in Financial Markets with Stochastic Volatility 1991Aspects of Risk Theory 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin 2002On minimizing the ruin probability by investment and reinsurance 2000Optimal investment for insurers

Cited by

2019Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion

Related works

Explore the map →

Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2011Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk modelarticle · 11 shared references 2011Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck processarticle · 10 shared references 2014Optimal reinsurance and investment with unobservable claim size and intensityarticle · 9 shared references 2013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility modelarticle · 8 shared references 2014Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approacharticle · 8 shared references 2007Upper bound for ruin probabilities under optimal investment and proportional reinsurancearticle · 8 shared references

Details

Year2017

Typearticle

Published2017-03-02

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations37

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.1016/j.insmatheco.2017.02.005

openalex_workW2591756540

Links

Imported from OpenAlex (CC0) — nothing here is generated.