The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
type: Item
instance of: scholarly article
title: The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
author: Yan Zhang
author: Peibiao Zhao
author: Hua Ren Zhou
published in: Acta Mathematica Scientia. Series B. (English Edition)
publication date: 2022-10-21T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 44A15
zbMATH DE Number: 7605438
zbMATH Keywords: reinsurance
zbMATH Keywords: investment
zbMATH Keywords: HARA utility
zbMATH Keywords: Heston model
zbMATH Keywords: Legendre transform
MaRDI profile type: Publication
full work available at URL: s10473-023-0107-6
OpenAlex ID: W4306679469
cites work: Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
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 consumption-investment strategy under the vasicek model: HARA utility and Legendre transform
cites work: An extended CEV model and the Legendre transform-dual-asymptotic solutions for annuity contracts
cites work: Q3868650
cites work: Aspects of risk theory
cites work: A stability result for the HARA class with stochastic interest rates.
cites work: Constant elasticity of variance model for proportional reinsurance and investment strategies
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Optimal reinsurance-investment problem for an insurer and a reinsurer with jump-diffusion process
cites work: Robust optimal investment and reinsurance problem for a general insurance company under Heston model
cites work: Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
cites work: Optimal control of risk exposure, reinsurance and investments for insurance portfolios
cites work: Optimal investment strategies for the HARA utility under the constant elasticity of variance model
cites work: Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
cites work: The asymptotic elasticity of utility functions and optimal investment in incomplete markets
cites work: Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
cites work: Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
cites work: Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
cites work: Optimal investment problem with stochastic interest rate and stochastic volatility: Maximizing a power utility
cites work: Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
cites work: Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
cites work: STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
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 optimal investment and reinsurance of an insurer under variance premium principle and default risk
cites work: Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
cites work: The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
cites work: Q4255599
cites work: Optimal reinsurance-investment problem with dependent risks based on Legendre transform
cites work: Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
cites work: Ruin probability in the continuous-time compound binomial model with investment
cites work: Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
cites work: Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
cites work: Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
DOI: 10.1007/S10473-023-0107-6
description: scientific article; zbMATH DE number 7605438