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Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
16 references·0 citing·33 second hop
Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework (2023)Optimal reinsurance-investment strategy w…On time-inconsistent stochastic control in continuous time (2017)On time-inconsistent stochast…Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2015)Robust equilibrium reinsuranc…Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance (2014)Maximum principle for mean-fi…Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model (2013)Optimal excess-of-loss reinsu…MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION (2012)MEAN–VARIANCE PORTFOLIO OPTIM…Dynamic Mean-Variance Asset Allocation (2010)Dynamic Mean-Variance Asset A…A General Theory of Markovian Time Inconsistent Stochastic Control Problems (2010)A General Theory of Markovian…Dynamic mean–variance portfolio selection with borrowing constraint (2009)Dynamic mean–variance portfol…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Minimizing the Probability of…CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)CONTINUOUS‐TIME MEAN‐VARIANCE…Benchmark and mean-variance problems for insurers (2005)Benchmark and mean-variance p…Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation (2000)Optimal Dynamic Portfolio Sel…Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Continuous-Time Mean-Variance…Brownian motion and stochastic calculus (1991)Brownian motion and stochasti…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Myopia and Inconsistency in Dynamic Utility Maximization (1955)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)A theory of Markovian time-inconsistent stochastic control in discrete time (2014)Portfolio Selection: Efficient Diversification of Investments (1959)Adapted solution of a backward stochastic differential equation (1990)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)Controlled Markov Processes and Viscosity Solutions (2005)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2008)Time-Inconsistent Stochastic Linear--Quadratic Control (2012)Insurance: Mathematics and Economics (2013)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Mean-Variance Analysis in Portfolio Choice and Capital Markets. (1989)Myopia and Inconsistency in Dynamic Utility Maximization (1973)An Intertemporal General Equilibrium Model of Asset Prices (1985)Bellman equation and viscosity solutions for mean-field stochastic control problem (2017)A Dynamic Mean-Variance Analysis for Log Returns (2018)McKean–Vlasov optimal control: The dynamic programming principle (2022)A Theory of the Term Structure of Interest Rates (1985)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)A Tale of Two Time Scales: Determining Integrated Volatility with Noisy High Frequency Data (2003)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A Maximum Principle for SDEs of Mean-Field Type (2010)Linear-Quadratic Optimal Control Problems for Mean-Field Stochastic Differential Equations (2013)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

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  • 2014Maximum principle for mean-field jump–diffusion stochastic delay differential equations and its application to finance123 cited
  • 2009Dynamic mean–variance portfolio selection with borrowing constraint

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111 cited
  • 2013Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model109 cited
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