Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model
Author:
Affiliation:
1. School of Mathematics, Tianjin University, Tianjin, People's Republic of China
2. Center for Applied Mathematics, Tianjin University, Tianjin, People's Republic of China
Funder
National Natural Science Foundation of China
Key Project of the National Social Science Foundation of China
Natural Science Foundation of Tianjin City
Publisher
Informa UK Limited
Subject
Computer Science Applications,Control and Systems Engineering
Link
https://www.tandfonline.com/doi/pdf/10.1080/00207179.2021.2015627
Reference31 articles.
1. Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model
2. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
3. Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets
4. Investment portfolio behavior of non-life insurers: A utility analysis
5. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
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1. Optimal Reinsurance and Investment Problems with Delay Effects in a Thinning Dependent Risk Model;Advances in Applied Mathematics;2024
2. Time-consistent reinsurance-investment strategies for insurer and reinsurer under jump-diffusion and volatility risks;Journal of Industrial and Management Optimization;2023
3. Robust optimal reinsurance strategy with correlated claims and competition;AIMS Mathematics;2023
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