Equilibrium investment–reinsurance strategy under information asymmetry and random horizon-Reference-Cited by-同舟云学术

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Equilibrium investment–reinsurance strategy under information asymmetry and random horizon

Published:2024-04 Issue: Volume:460 Page:134083
ISSN:0167-2789
Container-title:Physica D: Nonlinear Phenomena
language:en
Short-container-title:Physica D: Nonlinear Phenomena

Author:

Wang Wenhu,Wang Yankai,Peng Xingchun

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Reference37 articles.

1. Optimal reinsurance and investment for a jump diffusion risk process under the CEV model;Lin;N. Am. Actuar. J.,2011

2. Optimal reinsurance and investment with unobservable claim size and intensity;Liang;Insurance Math. Econom.,2014

3. Optimal investment for insurers;Hipp;Insurance Math. Econom.,2000

4. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint;Bai;Insurance Math. Econom.,2008

5. Portfolio selection;Markowitz;J. Finance,1952

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