Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
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Publication:1743390
DOI10.1007/s12190-017-1119-yzbMath1410.91273OpenAlexW2740401765MaRDI QIDQ1743390
Zhibin Liang, Caibin Zhang, Kam-Chuen Yuen
Publication date: 13 April 2018
Published in: Journal of Applied Mathematics and Computing (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/249693
Hamilton-Jacobi-Bellman equationexponential utilityjump-diffusion processcommon shock dependenceinvestment/reinsurance
Related Items (13)
Bayesian optimal investment and reinsurance with dependent financial and insurance risks ⋮ Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions ⋮ Optimal reinsurance and investment under common shock dependence between financial and actuarial markets ⋮ Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure ⋮ Optimal dividends and reinsurance with capital injection under thinning dependence ⋮ The optimal investment problem with inflation and liquidity risk ⋮ Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility ⋮ Time-consistent equilibrium reinsurance-investment strategy for \(n\) competitive insurers under a new interaction mechanism and a general investment framework ⋮ Optimal time-consistent reinsurance strategies for mean-variance insurers under thinning dependence structure ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence ⋮ Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach ⋮ The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
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