Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors

Cites Work

Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Optimal proportional reinsurance with common shock dependence
Optimal investment-reinsurance policy for an insurance company with VaR constraint
Applied stochastic control of jump diffusions.
Optimal reinsurance and investment with unobservable claim size and intensity
Asset and liability management under a continuous-time mean-variance optimization framework
A geometric approach to multiperiod mean variance optimization of assets and liabilities
Dynamic mean-variance problem with constrained risk control for the insurers
Continuous-time mean-variance portfolio selection: a stochastic LQ framework
Mean-variance portfolio selection in a complete market with unbounded random coefficients
Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
Optimal investment and risk control for an insurer with stochastic factor
On minimizing the ruin probability by investment and reinsurance
Optimal control of risk exposure, reinsurance and investments for insurance portfolios
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
Optimal mean-variance investment-reinsurance strategy for a dependent risk model with Ornstein-Uhlenbeck process
Mean-variance asset-liability management problem under non-Markovian regime-switching models
Mean-variance asset-liability management in a non-Markovian regime-switching jump-diffusion market with random horizon
Optimal mean-variance investment/reinsurance with common shock in a regime-switching market
Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility
A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
Optimal investment and reinsurance for an insurer under Markov-modulated financial market
Markowitz's mean-variance asset-liability management with regime switching: a continuous-time model
Mean-variance asset-liability management under constant elasticity of variance process
Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
Optimal dynamic portfolio selection: multiperiod mean-variance formulation
Functional Itô's calculus and dynamic convex risk measures for derivative securities
Jump-diffusion risk-sensitive asset management. II: Jump-diffusion factor model
A stochastic volatility model and optimal portfolio selection
Mean-Variance Hedging When There Are Jumps
Backward Stochastic Differential Equations in Finance
Optimal dynamic reinsurance with dependent risks: variance premium principle
Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS
THE 4/2 STOCHASTIC VOLATILITY MODEL: A UNIFIED APPROACH FOR THE HESTON AND THE 3/2 MODEL
Mean-Variance Portfolio Selection with Random Parameters in a Complete Market
Quadratic Hedging and Mean-Variance Portfolio Selection with Random Parameters in an Incomplete Market
Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

This page was built for publication: Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6666642)