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Optimal investment and reinsurance for an insurer under Markov-modulated financial market
16 references·1 citing·31 second hop
Optimal investment and reinsurance for an insurer under Markov-modulated financial market (2017)Optimal investment and reinsurance for an…Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Optimal time-consistent inves…Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimal time-consistent inves…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…Optimal dynamic reinsurance policies for large insurance portfolios (2003)Optimal dynamic reinsurance p…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…On minimizing the ruin probability by investment and reinsurance (2002)On minimizing the ruin probab…In the insurance business risky investments are dangerous (2002)In the insurance business ris…Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal Proportional Reinsura…Risk‐Sensitive Control and an Optimal Investment Model (2000)Risk‐Sensitive Control and an…Optimal investment for insurers (2000)Optimal investment for insure…Derivatives in Financial Markets with Stochastic Volatility (2000)Derivatives in Financial Mark…Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Aspects of Risk Theory (1991)Aspects of Risk TheoryExpected stock returns and volatility (1987)Expected stock returns and vo…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion (2019)Robust equilibrium excess-of-…Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)Modelling of extremal events in insurance and finance (1994)Controlled Markov Processes and Viscosity Solutions (2005)Optimality results for dividend problems in insurance (2009)Point Processes and Queues (1981)Stochastic Processes for Insurance and Finance (1999)Stochastic Processes for Insurance and Finance (2001)Brownian Motion and Stochastic Calculus (2007)A class of non-zero-sum stochastic differential investment and reinsurance games (2014)Optimum consumption and portfolio rules in a continuous-time model (1971)Risk Aversion in the Small and in the Large (1976)Exponential Hedging and Entropic Penalties (2002)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005)Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)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)An introduction to statistical finance (2002)Dynamics of implied volatility surfaces (2002)THE MOMENT FORMULA FOR IMPLIED VOLATILITY AT EXTREME STRIKES (2004)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)
this work references cited by second hop

References

  • 1987Expected stock returns and volatility4,147 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2003Financial Modelling with Jump Processes3,217 cited
  • 2000Derivatives in Financial Markets with Stochastic Volatility916 cited
  • 1991Aspects of Risk Theory902 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 2002On minimizing the ruin probability by investment and reinsurance333 cited
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  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
  • 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting271 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
  • 2000Risk‐Sensitive Control and an Optimal Investment Model163 cited
  • 2011Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model154 cited
  • 2003Optimal dynamic reinsurance policies for large insurance portfolios

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130 cited
  • 2002In the insurance business risky investments are dangerous121 cited
  • Cited by

    • 2019Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion31 cited