Optimal investment–reinsurance policy for an insurance company with VaR constraint

Author:

Chen Shumin,Li Zhongfei,Li Kemian

Publisher

Elsevier BV

Subject

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

Reference17 articles.

1. Theory of optimal consumption and portfolio selection under a capital-at-risk (CaR) and a value-at-risk (VaR) constraint;Atkinson;Journal of Management Mathematics,2005

2. Dynamic mean-variance problem with constrained risk control for the insurers;Bai;Mathematical Methods of Operations Research,2008

3. Benchmark and mean-variance problems for insurers;Bäuerle;Mathematical Methods of Operations Research,2005

4. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin;Browne;Mathematical Methods of Operations Research,1995

5. Optimal dynamic trading strategies with risk limits;Cuoco;Operation Research,2008

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