Time-consistent reinsurance-investment strategies for insurer and reinsurer under jump-diffusion and volatility risks
Author:
Affiliation:
1. School of Mathematics and Physics, Chongqing University of Science and Technology, China
2. School of Mathematics, Southwestern University of Finance and Economics, China
Publisher
American Institute of Mathematical Sciences (AIMS)
Reference28 articles.
1. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
2. T. Björk and A. Murgoci, A general theory of Markovian time inconsistent stochastic control problems, 2010, Available at SSRN 1694759.
T. Björk and A. Murgoci, A general theory of Markovian time inconsistent stochastic control problems, 2010, Available at SSRN 1694759.
3. The optimal reinsurance treaty
4. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
5. Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
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