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Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model

https://doi.org/10.1016/j.frl.2018.10.009
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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Aspects of Risk Theory
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Mean-variance portfolio selection for a non-life insurance company
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Dynamic mean-variance problem with constrained risk control for the insurers
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Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
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A BSDE approach to a risk-based optimal investment of an insurer
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A class of non-zero-sum stochastic differential investment and reinsurance games
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Non-zero-sum stochastic differential reinsurance and investment games with default risk
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Optimal investment for insurer with jump-diffusion risk process
inferredcites →https://doi.org/10.1016/j.insmatheco.2007.11.002openalex-snapshot
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
inferredcites →https://doi.org/10.1016/j.insmatheco.2009.04.001openalex-snapshot
Optimal investment and reinsurance of an insurer with model uncertainty
inferredcites →https://doi.org/10.1016/j.insmatheco.2011.01.001openalex-snapshot
Optimal time-consistent investment and reinsurance policies for mean-variance insurers
inferredcites →https://doi.org/10.1016/j.insmatheco.2011.09.002openalex-snapshot
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model
inferredcites →https://doi.org/10.1016/j.insmatheco.2013.08.004openalex-snapshot
Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model
inferredcites →https://doi.org/10.1016/j.insmatheco.2013.08.011openalex-snapshot
Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model
inferredcites →https://doi.org/10.1016/j.insmatheco.2013.09.015openalex-snapshot
Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods
inferredcites →https://doi.org/10.1016/j.insmatheco.2015.03.008openalex-snapshot
A reinsurance game between two insurance companies with nonlinear risk processes
inferredcites →https://doi.org/10.1016/j.insmatheco.2015.12.008openalex-snapshot
Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
inferredcites →https://doi.org/10.1016/j.insmatheco.2016.02.007openalex-snapshot
Robust non-zero-sum stochastic differential reinsurance game
inferredcites →https://doi.org/10.1016/j.insmatheco.2016.06.012openalex-snapshot
Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence
inferredcites →https://doi.org/10.1016/j.insmatheco.2016.10.005openalex-snapshot
Demand for longevity securities under relative performance concerns: Stochastic differential games with cointegration
inferredcites →https://doi.org/10.1016/j.insmatheco.2017.04.002openalex-snapshot
A reinsurance and investment game between two insurance companies with the different opinions about some extra information
inferredcites →https://doi.org/10.1016/j.insmatheco.2017.05.001openalex-snapshot
Optimality of excess-loss reinsurance under a mean–variance criterion
inferredcites →https://doi.org/10.1016/j.insmatheco.2018.03.004openalex-snapshot
Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
inferredcites →https://doi.org/10.1016/j.orl.2016.06.004openalex-snapshot
Non-zero-sum Reinsurance Games Subject to Ambiguous Correlations
inferredcites →https://doi.org/10.1017/asb.2017.35openalex-snapshot
STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE
inferredcites →https://doi.org/10.1080/03461238.2012.750621openalex-snapshot
Optimal investment of an insurer with regime-switching and risk constraint
inferredcites →https://doi.org/10.1080/03461238.2014.883085openalex-snapshot
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
inferredcites →https://doi.org/10.1080/03461238.2016.1228542openalex-snapshot
A class of nonzero-sum investment and reinsurance games subject to systematic risks
inferredcites →https://doi.org/10.1080/03461238.2017.1309679openalex-snapshot
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
inferredcites →https://doi.org/10.1080/03610926.2017.1324987openalex-snapshot
Time-consistent investment and reinsurance under relative performance concerns
inferredcites →https://doi.org/10.1080/10920277.2005.10596214openalex-snapshot
Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift
inferredcites →https://doi.org/10.1093/rfs/6.2.327openalex-snapshot
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
inferredcites →https://doi.org/10.1093/rfs/hhq086openalex-snapshot
Relative Wealth Concerns and Complementarities in Information Acquisition
inferredcites →https://doi.org/10.1111/jofi.12106openalex-snapshot
Strategic Asset Allocation in Money Management
inferredcites →https://doi.org/10.1111/mafi.12034openalex-snapshot
OPTIMAL INVESTMENT UNDER RELATIVE PERFORMANCE CONCERNS
inferredcites →https://doi.org/10.1287/moor.20.4.937openalex-snapshot
Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
inferredcites →https://doi.org/10.2139/ssrn.1694759openalex-snapshot
A General Theory of Markovian Time Inconsistent Stochastic Control Problems
inferredcites →https://doi.org/10.3934/jimo.2010.6.483openalex-snapshot
Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Multi-Objective Optimization of Ship Investments Based on Stable Distributions: Evidence from the Oil Tanker Market
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