Optimal investment and reinsurance strategies for an insurer with regime-switching
From MaRDI portal
Publication:6655907
DOI10.1007/S11579-024-00374-YMaRDI QIDQ6655907
Could not fetch data.
Publication date: 27 December 2024
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Could not fetch data.
Cites Work
- Title not available (Why is that?)
- Title not available (Why is that?)
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- Optimal investment and reinsurance of an insurer with model uncertainty
- Applied stochastic control of jump diffusions.
- Optimal reinsurance/investment problems for general insurance models
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Dynamic mean-variance problem with constrained risk control for the insurers
- Optimal dynamic reinsurance policies for large insurance portfolios
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Time-consistent mean-variance portfolio optimization: a numerical impulse control approach
- Optimal investment of variance-swaps in jump-diffusion market with regime-switching
- On minimizing the ruin probability by investment and reinsurance
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Optimal investment and reinsurance of insurers with lognormal stochastic factor model
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Optimal investment and reinsurance with premium control
- Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Portfolio selection with regime-switching and state-dependent preferences
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model
- Optimal proportional reinsurance and investment for stochastic factor models
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Dynamic control of the investment portfolio in the jump-diffusion financial market with regime switching
- Controlled Markov processes and viscosity solutions
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Explicit solutions of optimal consumption, investment and insurance problems with regime switching
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market
- Optimal investment-reinsurance with dynamic risk constraint and regime switching
- A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance
- EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
- Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
- Optimal reinsurance and investment problem in a defaultable market
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
- Optimal investment and reinsurance on survival and growth problems for the risk model with common shock dependence
- DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
- Optimal investment and reinsurance strategies for an insurer with stochastic economic factor
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
This page was built for publication: Optimal investment and reinsurance strategies for an insurer with regime-switching
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6655907)
