Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
type: Item
instance of: scholarly article
title: Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
zbMATH Open document ID: 1419.91385
author: Hao Wang
author: Jiaqin Wei
author: Rongming Wang
published in: Insurance Mathematics \& Economics
publication date: 2019-03-28T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G30
zbMATH DE Number: 7043768
zbMATH Keywords: mean-variance
zbMATH Keywords: equilibrium strategy
zbMATH Keywords: time-consistency
zbMATH Keywords: stochastic interest rate
zbMATH Keywords: stochastic volatility
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2019.01.002
OpenAlex ID: W2910038468
cites work: A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers
cites work: Dynamic mean-variance problem with constrained risk control for the insurers
cites work: Benchmark and mean-variance problems for insurers
cites work: Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
cites work: Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
cites work: On time-inconsistent stochastic control in continuous time
cites work: Besides with stochastic Lipschitz condition and quadratic PDEs in Hilbert spaces
cites work: Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
cites work: Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
cites work: Convergence of an Euler Scheme for a Hybrid Stochastic-Local Volatility Model with Stochastic Rates in Foreign Exchange Markets
cites work: Investment and consumption without commitment
cites work: Backward Stochastic Differential Equations in Finance
cites work: Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
cites work: Time-inconsistent stochastic linear-quadratic control
cites work: Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
cites work: Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
cites work: Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
cites work: Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
cites work: Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
cites work: Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
cites work: Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
cites work: Time-consistent mean-variance asset-liability management with random coefficients
cites work: Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
cites work: Optimal time-consistent investment and reinsurance policies for mean-variance insurers
cites work: Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
cites work: Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
DOI: 10.1016/J.INSMATHECO.2019.01.002
description: scientific article; zbMATH DE number 7043768