Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence-Reference-Cited by-同舟云学术

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Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence

Published:2016-09 Issue: Volume:70 Page:245-258
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Bi Junna,Liang Zhibin,Xu Fangjun

Funder

National Natural Science Foundation of China

Specialized Research Fund for the Doctoral Program of Higher Education of China

Shanghai Natural Science Foundation of China

Jiangsu Natural Science Foundation

Shanghai Pujiang Program

111 Project

Publisher

Elsevier BV

Subject

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

Reference27 articles.

1. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting;Bai;Insurance Math. Econom.,2013

2. Dynamic mean–variance problem with constrained risk control for the insurers;Bai;Math. Methods Oper. Res.,2008

3. Benchmark and mean–variance problems for insurers;Bäuerle;Math. Methods Oper. Res.,2005

4. Optimal mean–variance problem with constrained controls in a jump-diffusion financial market for an insurer;Bi;J. Optim. Theory Appl.,2013

5. Dynamic mean–variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer;Bi;Ann. Oper. Res.,2014

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1. Optimal investment and reinsurance strategies for an insurer with regime-switching;Mathematics and Financial Economics;2024-08-21

2. Optimal Reinsurance and Investment Strategies with Common Shocks and Mispricing;Advances in Applied Mathematics;2024

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

4. Constrained mean-variance portfolio optimization for jump-diffusion process under partial information;Stochastic Models;2023-01-23

5. Optimal control on investment and reinsurance strategies with delay and common shock dependence in a jump-diffusion financial market;Journal of Industrial and Management Optimization;2023

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