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Optimal reinsurance and investment in a Markovian regime-switching economy with delay and common shock

https://doi.org/10.1360/scm-2017-0371
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What this work says

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

inferredcites →https://doi.org/10.1002/oca.2252openalex-snapshot
Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
inferredcites →https://doi.org/10.1007/s00186-005-0446-1openalex-snapshot
Benchmark and mean-variance problems for insurers
inferredcites →https://doi.org/10.1007/s00186-007-0195-4openalex-snapshot
Dynamic mean-variance problem with constrained risk control for the insurers
inferredcites →https://doi.org/10.1007/s00186-016-0538-0openalex-snapshot
Optimal mean–variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
inferredcites →https://doi.org/10.1007/s002450010003openalex-snapshot
Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
inferredcites →https://doi.org/10.1007/s10114-012-9761-7openalex-snapshot
On optimal proportional reinsurance and investment in a Markovian regime-switching economy
inferredcites →https://doi.org/10.1007/s10957-012-0138-yopenalex-snapshot
Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer
inferredcites →https://doi.org/10.1016/j.insmatheco.2013.02.007openalex-snapshot
Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps
inferredcites →https://doi.org/10.1016/j.insmatheco.2013.05.008openalex-snapshot
Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach
inferredcites →https://doi.org/10.1016/j.insmatheco.2013.09.008openalex-snapshot
Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
inferredcites →https://doi.org/10.1016/j.insmatheco.2014.01.011openalex-snapshot
Optimal reinsurance and investment with unobservable claim size and intensity
inferredcites →https://doi.org/10.1016/j.insmatheco.2014.04.004openalex-snapshot
Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach
inferredcites →https://doi.org/10.1016/j.insmatheco.2015.01.005openalex-snapshot
Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model
inferredcites →https://doi.org/10.1016/j.insmatheco.2015.04.009openalex-snapshot
Optimal proportional reinsurance with common shock dependence
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/10.1017/s144618111600016xopenalex-snapshot
OPTIMAL MEAN–VARIANCE REINSURANCE WITH COMMON SHOCK DEPENDENCE
inferredcites →https://doi.org/10.1080/03461238.2014.892899openalex-snapshot
Optimal dynamic reinsurance with dependent risks: variance premium principle
inferredcites →https://doi.org/10.1080/07362994.2017.1299629openalex-snapshot
A stochastic portfolio optimization model with complete memory
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/10.1080/17442500008834259openalex-snapshot
Some Solvable Stochastic Control Problems With Delay
inferredcites →https://doi.org/10.1111/1467-9965.00100openalex-snapshot
Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation
inferredcites →https://doi.org/10.1111/j.1467-9965.2011.00515.xopenalex-snapshot
MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
inferredcites →https://doi.org/10.1111/j.1540-6261.1952.tb01525.xopenalex-snapshot
PORTFOLIO SELECTION*
inferredcites →https://doi.org/10.1137/s0363012902405583openalex-snapshot
Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
inferredcites →https://doi.org/10.1287/moor.1110.0508openalex-snapshot
A Stochastic Portfolio Optimization Model with Bounded Memory
inferredcites →https://doi.org/10.2139/ssrn.1694759openalex-snapshot
A General Theory of Markovian Time Inconsistent Stochastic Control Problems

What points at this work

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

inferred← citeshttps://doi.org/10.2139/ssrn.4195237openalex-extracted
inferred← citeshttps://doi.org/10.1016/j.ejor.2023.12.035openalex-snapshot
Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
inferred← citeshttps://doi.org/10.1093/imaman/dpaf011openalex-snapshot
Time-consistent investment and reinsurance strategies under thinning-dependence structure
inferred← citeshttps://doi.org/10.3390/math11102240openalex-snapshot
Optimal Private Health Insurance Contract towards the Joint Interests of a Policyholder and an Insurer
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