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Optimal investment for insurers with correlation risk: risk aversion and investment horizon

https://doi.org/10.1093/imaman/dpx001
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What this work says

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

inferredcites →https://doi.org/10.1007/0-387-31071-1openalex-snapshot
Controlled Markov Processes and Viscosity Solutions
inferredcites →https://doi.org/10.1007/978-3-0348-8081-7openalex-snapshot
Matrix Riccati Equations in Control and Systems Theory
inferredcites →https://doi.org/10.1007/bf01259552openalex-snapshot
Wishart processes
inferredcites →https://doi.org/10.1016/0261-5606(94)00001-hopenalex-snapshot
Is the correlation in international equity returns constant: 1960–1990?
inferredcites →https://doi.org/10.1016/0377-2217(95)00308-8openalex-snapshot
Common volatility in major stock index futures markets
inferredcites →https://doi.org/10.1016/j.cam.2013.12.050openalex-snapshot
Mean–variance portfolio selection with correlation risk
inferredcites →https://doi.org/10.1016/j.ejor.2015.05.012openalex-snapshot
Commodity derivatives pricing with cointegration and stochastic covariances
inferredcites →https://doi.org/10.1016/j.insmatheco.2005.06.009openalex-snapshot
Optimal investment for insurer with jump-diffusion risk process
inferredcites →https://doi.org/10.1016/j.insmatheco.2006.03.006openalex-snapshot
Asset and liability management under a continuous-time mean–variance optimization framework
inferredcites →https://doi.org/10.1016/j.insmatheco.2012.09.009openalex-snapshot
Optimal investment strategies for the HARA utility under the constant elasticity of variance model
inferredcites →https://doi.org/10.1016/j.insmatheco.2012.11.004openalex-snapshot
Optimal investment for an insurer with cointegrated assets: CRRA utility
inferredcites →https://doi.org/10.1016/j.insmatheco.2013.04.002openalex-snapshot
An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
inferredcites →https://doi.org/10.1016/j.insmatheco.2014.10.003openalex-snapshot
Mean–variance asset–liability management with asset correlation risk and insurance liabilities
inferredcites →https://doi.org/10.1016/j.jeconom.2008.12.016openalex-snapshot
The Wishart Autoregressive process of multivariate stochastic volatility
inferredcites →https://doi.org/10.1016/j.jedc.2011.04.003openalex-snapshot
Mean–variance portfolio selection of cointegrated assets
inferredcites →https://doi.org/10.1016/s0167-6687(00)00049-4openalex-snapshot
Optimal investment for insurers
inferredcites →https://doi.org/10.1016/s0304-405x(02)00068-5openalex-snapshot
Asymmetric correlations of equity portfolios
inferredcites →https://doi.org/10.1016/s0927-5398(00)00017-7openalex-snapshot
Stochastic correlation across international stock markets
inferredcites →https://doi.org/10.1080/14697680500149503openalex-snapshot
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
inferredcites →https://doi.org/10.1080/17442509408833914openalex-snapshot
Controlled markov processes and viscosity solutions
inferredcites →https://doi.org/10.1093/imaman/dpu021openalex-snapshot
The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model
inferredcites →https://doi.org/10.1093/imaman/dpv034openalex-snapshot
Optimal investment and consumption in a continuous-time co-integration model
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/9.1.141openalex-snapshot
Dynamic Nonmyopic Portfolio Behavior
inferredcites →https://doi.org/10.1093/rfs/hhi035openalex-snapshot
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
inferredcites →https://doi.org/10.1111/j.1467-9965.2008.00342.xopenalex-snapshot
MEAN–VARIANCE HEDGING AND OPTIMAL INVESTMENT IN HESTON'S MODEL WITH CORRELATION
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01533.xopenalex-snapshot
Correlation Risk and Optimal Portfolio Choice
inferredcites →https://doi.org/10.1162/003465303322369858openalex-snapshot
Flexible Multivariate GARCH Modeling with an Application to International Stock Markets
inferredcites →https://doi.org/10.1198/jbes.2009.08105openalex-snapshot
Derivative Pricing With Wishart Multivariate Stochastic Volatility
inferredcites →https://doi.org/10.3386/w7377openalex-snapshot
Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

What points at this work

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

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inferred← citeshttps://doi.org/10.1007/s11579-020-00271-0openalex-snapshot
Robust time-consistent mean–variance portfolio selection problem with multivariate stochastic volatility
inferred← citeshttps://doi.org/10.1016/j.insmatheco.2026.103303openalex-snapshot
Flat tontine termination design with mortality dependence
inferred← citeshttps://doi.org/10.1093/imaman/dpac002openalex-snapshot
Optimal reinsurance pricing, risk sharing and investment strategies in a joint reinsurer-insurer framework
inferred← citeshttps://doi.org/10.1093/imaman/dpad029openalex-snapshot
Optimal reinsurance-investment problem with default risk for an insurer under the constant elasticity of variance model
inferred← citeshttps://doi.org/10.1093/imaman/dpz002openalex-snapshot
Optimal investment and consumption problems under correlation ambiguity
inferred← citeshttps://doi.org/10.1093/imaman/dpz009openalex-snapshot
Defined contribution pension planning with a stochastic interest rate and mean-reverting returns under the hyperbolic absolute risk aversion preference
inferred← citeshttps://doi.org/10.1093/imaman/dpz013openalex-snapshot
LASSO-Based Simulation for High-Dimensional Multi-Period Portfolio Optimization
inferred← citeshttps://doi.org/10.1111/itor.12895openalex-snapshot
Health insurance risk assessment using cognitive mapping and multiple‐criteria decision analysis
inferred← citeshttps://doi.org/10.1186/s13660-018-1838-0openalex-snapshot
Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
inferred← citeshttps://doi.org/10.2139/ssrn.6110191openalex-snapshot
Flat Tontine Termination Design with Mortality Dependence
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