Optimal investment and risk control for an insurer under inside information
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Publication:343979
DOI10.1016/j.insmatheco.2016.04.008zbMath1369.91166OpenAlexW2345582795MaRDI QIDQ343979
Publication date: 21 November 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.04.008
Related Items (12)
A reinsurance and investment game between two insurance companies with the different opinions about some extra information ⋮ Optimal credit investment and risk control for an insurer with regime-switching ⋮ Portfolio selection and risk control for an insurer with uncertain time horizon and partial information in an anticipating environment ⋮ Optimal investment and risk control for an insurer with partial information in an anticipating environment ⋮ Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process ⋮ Good deal indices in asset pricing: actuarial and financial implications ⋮ Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process ⋮ Optimal investment and risk control for an insurer with stochastic factor ⋮ Differential equations connecting VaR and CVaR ⋮ Revisiting optimal investment strategies of value-maximizing insurance firms ⋮ Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
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