Optimal reinsurance and investment problem for an insurer with counterparty risk-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

Optimal reinsurance and investment problem for an insurer with counterparty risk

Published:2015-03 Issue: Volume:61 Page:242-254
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Zhu Huiming,Deng Chao,Yue Shengjie,Deng Yingchun

Funder

National Natural Science Foundation of China

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference40 articles.

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

2. Portfolio optimization with a defaultable security;Bielecki;Asia-Pac. Financ. Mark.,2006

3. Credit Risk: Modeling, Valuation and Hedging;Bielecki,2002

4. An optimal portfolio problem in a defaultable market;Bo;Adv. Appl. Probab.,2010

5. Stochastic portfolio optimization with default risk;Bo;J. Math. Anal. Appl.,2013

Cited by 44 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. Optimization for stochastic model arisen from investment problem associated with default risk;International Journal of Financial Engineering;2024-04-11

2. Non-zero sum stochastic differential game between two insurance companies under the variance premium principle;2024-01-12

3. Optimal reinsurance-investment problem with default risk for an insurer under the constant elasticity of variance model;IMA Journal of Management Mathematics;2023-12-29

4. The investment and reinsurance game of insurers and reinsurers with default risk under CEV model;RAIRO - Operations Research;2023-09

5. A Heston local-stochastic volatility model for optimal investment–reinsurance strategy with a defaultable bond in an ambiguous environment;Probability, Uncertainty and Quantitative Risk;2023

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3