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Optimal investment and reinsurance for an insurer under Markov-modulated financial market

  • Published:2017-05 Issue: Volume:74 Page:7-19
  • ISSN:0167-6687
  • Container-title:Insurance: Mathematics and Economics
  • language:en
  • Short-container-title:Insurance: Mathematics and Economics

Author:

Xu LinORCID,Zhang Liming,Yao Dingjun

Funder

Natural Science Foundation of China

Education of Humanities and Social Science Fund Project

Natural Science Foundation of the Jiangsu Higher Education Institutions of China

Publisher

Elsevier BV

Subject

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

Reference36 articles.

1. Ruin Probabilities. Vol. 14;Asmussen,2010

2. Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints;Azcue;Insurance Math. Econom.,2009

3. An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments;Badaoui;Insurance Math. Econom.,2013

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

5. Topological Spaces: Including a Treatment of Multi-valued Functions, Vector spaces, and Convexity;Berge,1963

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