Optimal reinsurance/investment problems for general insurance models
Download full text from publisher
CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Li, Bin & Li, Danping & Xiong, Dewen, 2016. "Alpha-robust mean-variance reinsurance-investment strategy," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 101-123.
- Peng, Xingchun & Hu, Yijun, 2013. "Optimal proportional reinsurance and investment under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 416-428.
- Pun, Chi Seng & Wong, Hoi Ying, 2016. "Robust non-zero-sum stochastic differential reinsurance game," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 169-177.
- repec:eee:insuma:v:75:y:2017:i:c:p:82-89 is not listed on IDEAS
- Danping Li & Dongchen Li & Virginia R. Young, 2017. "Optimality of Excess-Loss Reinsurance under a Mean-Variance Criterion," Papers 1703.01984, arXiv.org, revised Mar 2017.
- M. Nabil Kazi-Tani & Dylan Possamai & Chao Zhou, 2014. "Quadratic BSDEs with jumps: related non-linear expectations," Papers 1403.2730, arXiv.org.
- repec:eee:insuma:v:75:y:2017:i:c:p:58-70 is not listed on IDEAS
- Peng, Xingchun & Wang, Wenyuan, 2016. "Optimal investment and risk control for an insurer under inside information," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 104-116.
- Pun, Chi Seng & Wong, Hoi Ying, 2015. "Robust investment–reinsurance optimization with multiscale stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 245-256.
- Chen, Ping & Yam, S.C.P., 2013. "Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 871-883.
- Peng, Xingchun & Wei, Linxiao & Hu, Yijun, 2014. "Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 78-86.
- Liang, Zhibin & Bayraktar, Erhan, 2014. "Optimal reinsurance and investment with unobservable claim size and intensity," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 156-166.
- Landriault, David & Li, Bin & Li, Danping & Li, Dongchen, 2016. "A pair of optimal reinsurance–investment strategies in the two-sided exit framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 284-294.
More about this item
NEP fieldsThis paper has been announced in the following NEP Reports:
StatisticsAccess and download statistics
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:0908.4538. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (arXiv administrators). General contact details of provider: http://arxiv.org/ .
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
We have no references for this item. You can help adding them by using this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.