Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market

DOI10.3934/jimo.2022068OpenAlexW4285113734MaRDI QIDQ2691293

Yanyan Li

Publication date: 29 March 2023

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2022068

zbMATH Keywords

viscosity solutionmean-variancestochastic delay differential equationjump-diffusion processtwo-dimensional dependent claims

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

Related Items (1)

Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework

Cites Work

• Unnamed Item
• Unnamed Item
• A stochastic control problem with delay arising in a pension fund model
• Optimal proportional reinsurance with common shock dependence
• Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
• Benchmark and mean-variance problems for insurers
• Optimal investment for insurer with jump-diffusion risk process
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• Dynamic mean-variance problem with constrained risk control for the insurers
• Optimal proportional reinsurance policies for diffusion models with transaction costs
• Continuous-time mean-variance portfolio selection: a stochastic LQ framework
• Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
• Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
• Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
• Equilibrium reinsurance-investment strategies with partial information and common shock dependence
• Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
• Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
• Controlled Markov processes and viscosity solutions
• Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
• Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
• Some Solvable Stochastic Control Problems With Delay
• Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
• A Stochastic Portfolio Optimization Model with Bounded Memory
• Optimal dynamic reinsurance with dependent risks: variance premium principle
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE
• Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
• Optimal investment for insurers

This page was built for publication: Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market