An Optimal Investment Strategy for Insurers in Incomplete Markets
Author:
Publisher
MDPI AG
Subject
Strategy and Management,Economics, Econometrics and Finance (miscellaneous),Accounting
Link
http://www.mdpi.com/2227-9091/6/2/31/pdf
Reference28 articles.
1. Stochastic Simulation, Algorithms and Analysis;Asmussen,2007
2. An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
3. Equilibrium in a Reinsurance Market
4. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
5. Modified Monte Carlo methods using quasi-random sequences;Calfisch,1995
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2. Expected power utility maximization with delay for insurers under the 4/2 stochastic volatility model;Mathematical Control and Related Fields;2022
3. Optimal investment and reinsurance of insurers with lognormal stochastic factor model;Mathematical Control & Related Fields;2021
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