Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
type: Item
instance of: scholarly article
title: Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
zbMATH Open document ID: 1544.9127
DOI: 10.1155/2020/3143840
author: Xiaotao Liu
author: Hailong Liu
published in: Mathematical Problems in Engineering
publication date: 2021-05-14T00:00:00Z
Mathematics Subject Classification ID: 91G05
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 7348300
MaRDI profile type: Publication
cites work: Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
cites work: Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
cites work: Time-consistent investment strategy under partial information
cites work: Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
cites work: Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
cites work: Pricing and Hedging Path-Dependent Options Under the CEV Process
cites work: Asymptotic option pricing under the CEV diffusion
cites work: The dynamics of stochastic volatility: evidence from underlying and options markets
cites work: Portfolio selection problem with multiple risky assets under the constant elasticity of variance model
cites work: Invariant approach to optimal investment-consumption problem: the constant elasticity of variance (CEV) model
cites work: Portfolio optimization in a defined benefit pension plan where the risky assets are processes with constant elasticity of variance
cites work: The constant elasticity of variance (CEV) model and the Legendre transform-dual solution for annuity contracts
cites work: Optimal investment strategy for annuity contracts under the constant elasticity of variance (CEV) model
cites work: Optimal portfolios for DC pension plans under a CEV model
cites work: Optimal investment strategies for the HARA utility under the constant elasticity of variance model
cites work: Constant elasticity of variance model for proportional reinsurance and investment strategies
cites work: Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
cites work: Optimal excess-of-loss reinsurance and investment polices under the CEV model
cites work: Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
cites work: Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
cites work: Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
cites work: Mean-variance portfolio selection under a constant elasticity of variance model
cites work: Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
cites work: Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
cites work: Equilibrium investment strategy for DC pension plan with default risk and return of premiums clauses under CEV model
cites work: Mean-variance asset-liability management under constant elasticity of variance process
cites work: Family optimal investment strategy for a random household expenditure under the CEV model
cites work: Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
cites work: On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
cites work: The absolute ruin insurance risk model with a threshold dividend strategy
cites work: Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
cites work: Valuing equity-linked death benefits in general exponential Lévy models
cites work: Social optimal mean field control problem for population growth model
cites work: An Euler-type method for the strong approximation of the Cox–Ingersoll–Ross process
description: scientific article; zbMATH DE number 7348300