Risk minimization for an insurer with investment and reinsurance via g-expectation
From MaRDI portal
Publication:5077872
DOI10.1080/03610926.2018.1504077OpenAlexW2917585615MaRDI QIDQ5077872
Wenyuan Wang, Fenge Chen, Xing-Chun Peng
Publication date: 20 May 2022
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2018.1504077
Statistics (62-XX) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Financial and insurance mathematics (aspects of mathematics education) (97M30)
Cites Work
- Unnamed Item
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Backward stochastic differential equations with jumps and their actuarial and financial applications. BSDEs with jumps
- Risk minimization in financial markets modeled by Itô-Lévy processes
- Risk-based optimal investment and proportional reinsurance of an insurer with hidden regime switching
- A BSDE approach to a risk-based optimal investment of an insurer
- Optimal reinsurance and investment with unobservable claim size and intensity
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- On reinsurance and investment for large insurance portfolios
- On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
- Convex measures of risk and trading constraints
- On minimizing the ruin probability by investment and reinsurance
- 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
- Risk measures via \(g\)-expectations
- Coherent Measures of Risk
- Maximum Principles for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps
- The Malliavin Calculus and Related Topics
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- No Arbitrage and General Semimartingales
- Backward Stochastic Differential Equations in Finance
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
This page was built for publication: Risk minimization for an insurer with investment and reinsurance via g-expectation
