Contagion modeling between the financial and insurance markets with time changed processes
From MaRDI portal
Publication:2397853
DOI10.1016/J.INSMATHECO.2017.02.011zbMath1394.91218OpenAlexW2592965629WikidataQ91901356 ScholiaQ91901356MaRDI QIDQ2397853
Publication date: 24 May 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://europepmc.org/articles/pmc7114210
stochastic optimal controlasset-liability managementCramér-Lundberg risk modeltime-changed Lévy processself-exciting process
Related Items (10)
Optimal dividend policy in an insurance company with contagious arrivals of claims ⋮ Bayesian optimal investment and reinsurance with dependent financial and insurance risks ⋮ Optimal reinsurance and investment under common shock dependence between financial and actuarial markets ⋮ EXPLORING THE ASSET–LIABILITY RATIO FINANCIAL MANAGEMENT OF SMALL AND MEDIUM-SIZED ENTERPRISES UNDER DYNAMIC NONLINEAR SYSTEM ⋮ Optimal control of investment, premium and deductible for a non-life insurance company ⋮ Moment generating function of non-Markov self-excited claims processes ⋮ Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ Household lifetime strategies under a self-contagious market ⋮ PORTFOLIO ALLOCATION IN A LEVY-TYPE JUMP-DIFFUSION MODEL WITH NONLIFE INSURANCE RISK
Cites Work
- Unnamed Item
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Mutual excitation in Eurozone sovereign CDS
- Optimal proportional reinsurance with common shock dependence
- Controlled diffusion models for optimal dividend pay-out
- On minimizing the ruin probability by investment and reinsurance
- Optimal dividend problems for a jump-diffusion model with capital injections and proportional transaction costs
- Impact of volatility clustering on equity indexed annuities
- Ruin by dynamic contagion claims
- Multivariate Hawkes processes: an application to financial data
- Finite-time Lundberg inequalities in the Cox case
- A dynamic contagion process
- Optimisation in Non-Life Insurance
- Ruin probabilities and aggregrate claims distributions for shot noise Cox processes
- Mean-Variance Optimal Reinsurance Arrangements
- Exponential inequalities for ruin probabilities in the Cox case
- A cluster process representation of a self-exciting process
- A model for interest rates with clustering effects
- Particle Markov Chain Monte Carlo Methods
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Spectra of some self-exciting and mutually exciting point processes
- Optimal reinsurance under mean-variance premium principles
- Optimal investment for insurers
This page was built for publication: Contagion modeling between the financial and insurance markets with time changed processes
