Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process-Reference-Cited by-同舟云学术

Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process

Published:2019-09-30 Issue:11 Volume:50 Page:2546-2568
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Yang Peng¹²³,Chen Zhiping¹²,Wang Liyuan¹²

Affiliation:

1. School of Mathematics and Statistics, Xi’an Jiaotong University, Xi’an, PR China;

2. Center for Optimization Technique and Quantitative Finance, Xi’an International Academy for Mathematics and Mathematical Technolgy, Xi’an, PR China;

3. School of Science, Xijing University, Xi’an, PR China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2019.1670849

Reference33 articles.

1. Dynamic Mean-Variance Asset Allocation

2. Benchmark and mean-variance problems for insurers

3. Asymptotic Investment Behaviors under a Jump-Diffusion Risk Process

4. Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

5. Björk, T., and A. Murgoci. 2010. A general theory of Markovian time inconsistent stochastic control problems. Working Paper, Stockholm School of Economics. http://ssrn.com/abstract=1694759.

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