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Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
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References

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  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
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  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
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  • 2009Optimal Reinsurance Arrangements Under Tail Risk Measures126 cited
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  • 2004Optimal control of risk exposure, reinsurance and investments for insurance portfolios

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106 cited
  • 2011Optimal proportional reinsurance and investment in a stock market with Ornstein–Uhlenbeck process104 cited
  • Cited by

    • 2022Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games17 cited