Optimal investment-reinsurance with dynamic risk constraint and regime switching

DOI10.1080/03461238.2011.602477zbMath1280.91093OpenAlexW2082971653MaRDI QIDQ2868609

Wai-Ki Ching, Ka-Fai Cedric Yiu, Tak Kuen Siu, Jingzhen Liu

Publication date: 17 December 2013

Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03461238.2011.602477

zbMATH Keywords

dynamic programmingutility maximizationoptimal reinsuranceinvestmentregime-switchingmaximal conditional value at riskregime-switching Hamilton-Jacobi-Bellman equations

Mathematics Subject Classification ID

Related Items (13)

Constrained investment-reinsurance optimization with regime switching under variance premium principle ⋮ Portfolio optimization with wealth-dependent risk constraints ⋮ A class of nonzero-sum investment and reinsurance games subject to systematic risks ⋮ Optimal investment and reinsurance strategies under 4/2 stochastic volatility model ⋮ Robust reinsurance contracts with risk constraint ⋮ Optimal investment-reinsurance policy with regime switching and value-at-risk constraint ⋮ Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function ⋮ Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework ⋮ Continuous-time optimal reinsurance strategy with nontrivial curved structures ⋮ Optimal investment-reinsurance policy with stochastic interest and inflation rates ⋮ Dynamic reinsurance in discrete time minimizing the insurer's cost of capital ⋮ Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model ⋮ Optimal reinsurance and investment problem for an insurer with counterparty risk

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