Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
DOI10.1051/COCV/2024050MaRDI QIDQ6621503
Publication date: 18 October 2024
Published in: European Series in Applied and Industrial Mathematics (ESAIM): Control, Optimization and Calculus of Variations (Search for Journal in Brave)
random coefficientsbackward stochastic differential equations with jumpsconvex cone constraintsmean-variance investment-reinsurancepartially coupled stochastic Riccati equations
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial mathematics (91G05)
Cites Work
- Title not available (Why is that?)
- Solutions of BSDE's with jumps and quadratic/locally Lipschitz generator
- Benchmark and mean-variance problems for insurers
- Backward stochastic differential equations with jumps and related nonlinear expectations
- Dynamic mean-variance problem with constrained risk control for the insurers
- Constrained LQ problem with a random jump and application to portfolio selection
- Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging.
- Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Constrained stochastic LQ control with regime switching and application to portfolio selection
- Indefinite stochastic linear-quadratic optimal control problems with random coefficients: closed-loop representation of open-loop optimal controls
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- \(\mathbb L^p\) solutions of backward stochastic differential equations with jumps
- Mean-variance hedging on uncertain time horizon in a market with a jump
- BSDEs with jumps, optimization and applications to dynamic risk measures
- Quadratic BSDEs with jumps: a fixed-point approach
- A new existence result for quadratic BSDEs with jumps with application to the utility maximization problem
- Utility maximization in a jump market model
- Existence and Uniqueness of a Solution for Stochastic Equations with Respect to Semimartingales
- Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
- General Linear Quadratic Optimal Stochastic Control Problems with Random Coefficients: Linear Stochastic Hamilton Systems and Backward Stochastic Riccati Equations
- Backward Stochastic Riccati Equation with Jumps Associated with Stochastic Linear Quadratic Optimal Control with Jumps and Random Coefficients
- Robust Portfolio Choice and Indifference Valuation
- Constrained Stochastic LQ Control with Random Coefficients, and Application to Portfolio Selection
This page was built for publication: Constrained mean-variance investment-reinsurance under the Cramér-Lundberg model with random coefficients
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6621503)
