Optimal investment and reinsurance policies in insurance markets under the effect of inside information
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Publication:5414518
DOI10.1002/asmb.925zbMath1286.91064OpenAlexW2115596421MaRDI QIDQ5414518
Ioannis D. Baltas, Nikolaos E. Frangos, Athanasios N. Yannacopoulos
Publication date: 6 May 2014
Published in: Applied Stochastic Models in Business and Industry (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1002/asmb.925
Economics of information (91B44) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items (17)
Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market ⋮ A reinsurance and investment game between two insurance companies with the different opinions about some extra information ⋮ Robust reinsurance contract with learning and ambiguity aversion ⋮ Optimal investment and risk control for an insurer under inside information ⋮ Expected utility maximization for an insurer with investment and risk control under inside information ⋮ Robust optimal investment and reinsurance for an insurer with inside information ⋮ A framework for treating model uncertainty in the asset liability management problem ⋮ Reinsurance contract design with heterogeneous beliefs and learning ⋮ A non-zero-sum stochastic differential game between two mean-variance insurers with inside information ⋮ Robust portfolio decisions for financial institutions ⋮ Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information ⋮ Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information ⋮ Optimal stop-loss reinsurance with joint utility constraints ⋮ Optimal proportional reinsurance and investment under partial information ⋮ Optimal proportional reinsurance with a loss-dependent premium principle ⋮ Optimal pension fund management under risk and uncertainty: the case study of Poland ⋮ Uncertainty and inside information
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