OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE
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Publication:5369466
DOI10.1017/S144618111600016XzbMath1372.91053MaRDI QIDQ5369466
Caibin Zhang, Zhibin Liang, Zhiqin Ming
Publication date: 17 October 2017
Published in: The ANZIAM Journal (Search for Journal in Brave)
Hamilton-Jacobi-Bellman equationcompound Poisson processproportional reinsurancestochastic linear-quadratic problemcommon shock component
Related Items (12)
Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market ⋮ Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model ⋮ Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence ⋮ Mean-variance problem for an insurer with default risk under a jump-diffusion risk model ⋮ Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework ⋮ Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks ⋮ Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market ⋮ Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model ⋮ Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks ⋮ Optimal mean-variance investment/reinsurance with common shock in a regime-switching market ⋮ Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence ⋮ Portfolio optimization for jump-diffusion risky assets with regime switching: a time-consistent approach
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