Equilibrium reinsurance-investment strategies with partial information and common shock dependence
type: Item
instance of: scholarly article
title: Equilibrium reinsurance-investment strategies with partial information and common shock dependence
zbMATH Open document ID: 1478.91160
author: Jun Cai
author: Yan Zeng
author: Junna Bi
published in: Annals of Operations Research
publication date: 2022-01-24T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 62P05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7462442
zbMATH Keywords: equilibrium reinsurance-investment strategy
zbMATH Keywords: common shock
zbMATH Keywords: partial information
zbMATH Keywords: extended HJB system of equations
MaRDI profile type: Publication
full work available at URL: s10479-021-04317-4
OpenAlex ID: W3206010544
cites work: Optimal hazard models based on partial information
cites work: Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
cites work: Benchmark and mean-variance problems for insurers
cites work: Solution approaches for the multiobjective stochastic programming
cites work: Multi-objective stochastic programming for portfolio selection
cites work: A compromise solution for the multiobjective stochastic linear programming under partial uncertainty
cites work: A recourse goal programming approach for airport bus routing problem
cites work: Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
cites work: Behavioral mean-variance portfolio selection
cites work: Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
cites work: CONTINUOUS-TIME MEAN-VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION
cites work: Optimal investment under partial information
cites work: On time-inconsistent stochastic control in continuous time
cites work: A theory of Markovian time-inconsistent stochastic control in discrete time
cites work: MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
cites work: Portfolio selection under incomplete information
cites work: Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
cites work: Optimal VaR-based risk management with reinsurance
cites work: Non-zero-sum stochastic differential reinsurance and investment games with default risk
cites work: On finite-time ruin probabilities in a generalized dual risk model with dependence
cites work: Robust pricing for airlines with partial information
cites work: Filtering and portfolio optimization with stochastic unobserved drift in asset returns
cites work: Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
cites work: Preface: Recent advances in multiple objective optimization and goal programming
cites work: Robust equity portfolio performance
cites work: Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach
cites work: Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
cites work: Optimal dynamic portfolio selection: multiperiod mean-variance formulation
cites work: Time-consistent investment strategy under partial information
cites work: Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
cites work: Dynamic derivative-based investment strategy for mean-variance asset-liability management with stochastic volatility
cites work: Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
cites work: Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information
cites work: Optimal dynamic reinsurance with dependent risks: variance premium principle
cites work: Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
cites work: Time consistent multi-period robust risk measures and portfolio selection models with regime-switching
cites work: A multiple stochastic goal programming approach for the agent portfolio selection problem
cites work: Optimal proportional reinsurance and investment under partial information
cites work: Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
cites work: On minimizing the ruin probability by investment and reinsurance
cites work: Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
cites work: Time-consistent mean-variance asset-liability management with random coefficients
cites work: Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk
cites work: Optimal investment and reinsurance for an insurer under Markov-modulated financial market
cites work: On the first time of ruin in the bivariate compound Poisson model
cites work: Optimal proportional reinsurance with common shock dependence
cites work: Optimal time-consistent investment and reinsurance policies for mean-variance insurers
cites work: Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
cites work: Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
cites work: Continuous-time mean-variance portfolio selection: a stochastic LQ framework
DOI: 10.1007/S10479-021-04317-4
description: scientific article; zbMATH DE number 7462442