Stochastic differential reinsurance and investment games with delay under VaR constraints⋆-Reference-Cited by-同舟云学术

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Stochastic differential reinsurance and investment games with delay under VaR constraints⋆

Published:2022-08-10 Issue: Volume: Page:1-37
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

He Xinya¹,Gu Ailing¹,Yao Haixiang²³⁴

Affiliation:

1. School of Mathematics and Statistics, Guangdong University of Technology, Guangzhou, China

2. School of Finance, Guangdong University of Foreign Studies, Guangzhou, China

3. Southern China Institute of Fortune Management Research, Guangzhou, China

4. Institute of Financial Openness and Asset Managementh, Guangzhou, China

Funder

National Natural Science Foundation of China

Key Program of the National Social Science Foundation of China

Joint Research Project of Teachers and Students of Guangdong University of Foreign Studies

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2022.2103149

Reference34 articles.

1. Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model

2. Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints

3. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

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

5. A hybrid stochastic differential reinsurance and investment game with bounded memory

Cited by 3 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. A non-zero-sum investment and reinsurance game between two mean–variance insurers with dynamic CVaR constraints;The North American Journal of Economics and Finance;2024-01

2. Modeling the Optimal Combination of Proportional and Stop-Loss Reinsurance with Dependent Claim and Stochastic Insurance Premium;Journal of Risk and Financial Management;2023-02-06

3. Optimal Portfolio Selection with Delay under the Framework of Uncertainty Theory;Journal of Applied Mathematics and Physics;2023

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