Optimal portfolio and reinsurance with two differential risky assets-Reference-Cited by-同舟云学术

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Optimal portfolio and reinsurance with two differential risky assets

Published:2022-03-12 Issue: Volume: Page:1-21
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Yi Haoran¹,Zhang Xuekang²³,Shan Yuanchuang¹,Shu Huisheng⁴

Affiliation:

1. College of Information Science and Technology, Donghua University, Shanghai, China

2. Energy Internet Engineering Research Center of Anhui Provincial Department of Education, Anhui Polytechnic University, Wuhu, China

3. School of Mathematics-Physics and Finance, Anhui Polytechnic University, Wuhu, China

4. College of Science, Donghua University, Shanghai, China

Funder

National Natural Science Foundation of China

Fundamental Research Funds for the Central Universities

the Open Research Fund of Energy Internet Engineering Research Center of Anhui Provincial Department of Education, Anhui Polytechnic University

the Pre-Research National Natural Science Foundation of China of Anhui Polytechnic University

the Research Start-up Foundation of Introduce Talent of Anhui Polytechnic University

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2022.2039708

Reference26 articles.

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

2. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

3. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

4. Optimal proportional reinsurance and investment based on Hamilton–Jacobi–Bellman equation

5. Constrained investment–reinsurance optimization with regime switching under variance premium principle

Cited by 2 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 mean-variance investment and reinsurance with a correlation under Heston’s SV model;2024 36th Chinese Control and Decision Conference (CCDC);2024-05-25

2. Optimal portfolio strategy of wealth process: a Lévy process model-based method;International Journal of Systems Science;2024-02-13

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