Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets-Reference-Cited by-同舟云学术

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Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets

Published:2019-03 Issue: Volume:85 Page:1-14
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Bi Junna,Cai Jun

Funder

National Natural Science Foundation of China

111 Project

Natural Sciences and Engineering Research Council of Canada

Publisher

Elsevier BV

Subject

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

Reference29 articles.

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

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

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

4. Björk, T., Murgoci, A., 2010. A general theory of Markovian time inconsistent stochastic control problems. Working Paper, Stockholm School of Economics. Available at: http://ssrn.com/abstract=1694759.

5. Mean–variance portfolio optimization with state-dependent risk aversion;Björk;Math. Finance,2014

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