Optimal mean-variance investment/reinsurance with common shock in a regime-switching market

DOI10.1007/s00186-018-00657-3zbMath1429.62459OpenAlexW2910256560WikidataQ128579765 ScholiaQ128579765MaRDI QIDQ2274152

Zhibin Liang, Kam-Chuen Yuen, Jun-na Bi

Publication date: 19 September 2019

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-018-00657-3

zbMATH Keywords

stochastic controlefficient frontiermean-variance criterionregime-switchingcommon shockoptimal investment-reinsurance strategy

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20) Portfolio theory (91G10) Actuarial mathematics (91G05)

Related Items (6)

Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model ⋮ Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process ⋮ Optimal reinsurance and investment under common shock dependence between financial and actuarial markets ⋮ Optimal dividends and reinsurance with capital injection under thinning dependence ⋮ Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift ⋮ Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria

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