Optimal investment problem between two insurers with value-added service-Reference-Cited by-同舟云学术

Optimal investment problem between two insurers with value-added service

Published:2019-08-19 Issue:8 Volume:50 Page:1781-1806
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Wang Yajie¹,Rong Ximin¹²,Zhao Hui¹,Li Danping³

Affiliation:

1. School of Mathematics, Tianjin University, Tianjin, PR China;

2. Center for Applied Mathematics, Tianjin University, Tianjin, PR China;

3. Key Laboratory of Advanced Theory and Application in Statistics and Data Science-Moe, School of Statistics, Faculty of Economics and Management, East China Normal University, Shanghai, PR China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2019.1653921

Reference27 articles.

1. Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

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

3. Measuring Life Insurance Service Quality: An Empirical Assessment of SERVQUAL Instrument

4. Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer

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

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