Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
From MaRDI portal
Publication:5039390
DOI10.1080/02331934.2021.1887179OpenAlexW3133273704MaRDI QIDQ5039390
Publication date: 12 October 2022
Published in: Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/02331934.2021.1887179
stochastic optimal controlstochastic interest rateproportional reinsurancemean-variance frameworkcommon shock dependence
Related Items (5)
Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ On some effects of dependencies on an insurer's risk exposure, probability of ruin, and optimal premium loading ⋮ Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables ⋮ Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Robust non-zero-sum stochastic differential reinsurance game
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal proportional reinsurance with common shock dependence
- Optimal consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Continuous-time mean-variance asset-liability management with stochastic interest rates and inflation risks
- Benchmark and mean-variance problems for insurers
- Worst case model risk management
- Continuous-time mean-variance portfolio selection: a stochastic LQ framework
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Dynamic mean-variance portfolio selection with borrowing constraint
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- A Theory of the Term Structure of Interest Rates
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Time-consistent mean–variance proportional reinsurance and investment problem in a defaultable market
- Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market
- Robust mean variance portfolio selection model in the jump-diffusion financial market with an intractable claim
- An equilibrium characterization of the term structure
- OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE
- Applied stochastic control of jump diffusions
This page was built for publication: Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
