Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors-Reference-Cited by-同舟云学术

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Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors

Published:2023-11-23 Issue: Volume: Page:1-16
ISSN:0020-7179
Container-title:International Journal of Control
language:en
Short-container-title:International Journal of Control

Author:

Zhu Dan¹,Wang Zemeng¹,Sun Zhongyang¹

Affiliation:

1. School of Statistics and Data Science, Qufu Normal University, Qufu, Shandong, People's Republic of China

Funder

National Natural Science Foundation of China

the Youth Innovation Team of Shandong Universities

Shandong Provincial Natural Science Foundation, China

Publisher

Informa UK Limited

Subject

Computer Science Applications,Control and Systems Engineering

Link

https://www.tandfonline.com/doi/pdf/10.1080/00207179.2023.2287693

Reference43 articles.

1. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

2. Dynamic mean-variance problem with constrained risk control for the insurers

3. Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence

4. Optimal mean–variance investment/reinsurance with common shock in a regime-switching market

5. Optimal investment and risk control for an insurer with stochastic factor

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