Dynamic mean-variance problem with constrained risk control for the insurers
Author:
Publisher
Springer Science and Business Media LLC
Subject
Management Science and Operations Research,General Mathematics,Software
Link
http://link.springer.com/content/pdf/10.1007/s00186-007-0195-4.pdf
Reference27 articles.
1. Bäuerle N (2005) Benchmark and mean-variance problems for insurers. Math Methods Oper Res 62: 159–165
2. Bardi M, Capuzzo-Dolcetta I (1997) Optimal control and viscosity solutions of Hamilton–Jacobi–Bellman equations. Birkhäuser, Boston
3. Brémaud P (1981) Point processes and queues. Springer, New York
4. Browne S (1995) Optimal investment policies for a firm with random risk process: exponential utility and minimizing the probability of ruin. Math Oper Res 20(4): 937–958
5. Choulli T, Taksar M, Zhou XY (2003) Optimal dividend distribution and risk control. SIAM J Control optim 41: 1946–1979
Cited by 115 articles. 订阅此论文施引文献 订阅此论文施引文献,注册后可以免费订阅5篇论文的施引文献,订阅后可以查看论文全部施引文献
1. Optimal investment and reinsurance strategies for an insurer with regime-switching;Mathematics and Financial Economics;2024-08-21
2. Non-zero-sum investment-reinsurance game with delay and ambiguity aversion;The North American Journal of Economics and Finance;2024-07
3. Optimal Reinsurance and Derivative-Based Investment Decisions for Insurers with Mean-Variance Preference;Mathematics;2024-06-30
4. Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model;Journal of Optimization Theory and Applications;2024-04-10
5. Constrained mean-variance investment-reinsurance under the Cramér–Lundberg model with random coefficients;ESAIM: Control, Optimisation and Calculus of Variations;2024
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线,采集、加工和组织学术论文而形成的新型学术文献查询和分析系统,可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容,当前同舟云学术共收录了国内外主流学术期刊6万余种,收集的期刊论文及会议论文总量共计约1.5亿篇,并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询!咨询电话:010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3