Optimal investment and risk control for an insurer with stochastic factor-Reference-Cited by-同舟云学术

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Optimal investment and risk control for an insurer with stochastic factor

Published:2017-05 Issue:3 Volume:45 Page:259-265
ISSN:0167-6377
Container-title:Operations Research Letters
language:en
Short-container-title:Operations Research Letters

Author:

Bo Lijun,Wang Shihua

Funder

NSF of China

The Key Research Program of Frontier Sciences, CAS

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Applied Mathematics,Industrial and Manufacturing Engineering,Management Science and Operations Research,Software

Reference22 articles.

1. Classical solutions to reaction–diffusion systems for hedging problems with interacting Itô and point processes;Becherer;Ann. Appl. Probab.,2005

2. Mertons portfolio optimization problem in Black–Scholes market with non-Gaussian stochastic volatility of Ornstein–Uhlenbeck type;Benth;Math. Finance,2003

3. Kernel correlated Lévy field driven forward rate and application to derivative pricing;Bo;Appl. Math. Optim.,2013

4. Stochastic interest rates and the bond-stock mix;Brennan;Eur. Finance Rev.,2000

5. Optimal investment and consumption in a Black–Scholes market with Lévy-driven stochastic coefficients;Delong;Ann. Appl. Probab.,2008

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2. A mean field game approach to optimal investment and risk control for competitive insurers;Insurance: Mathematics and Economics;2024-05

3. Mean-variance reinsurance and asset liability management with common shock via non-Markovian stochastic factors;International Journal of Control;2023-11-23

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5. Optimal investment and reinsurance strategies for an insurer with stochastic economic factor;Hacettepe Journal of Mathematics and Statistics;2022-12-31

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