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Optimal insurance in a continuous-time model

Citations

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Cited by:

  1. Dalila Guerdouh & Nabil Khelfallah & Josep Vives, 2022. "Optimal Control Strategies for the Premium Policy of an Insurance Firm with Jump Diffusion Assets and Stochastic Interest Rate," JRFM, MDPI, vol. 15(3), pages 1-19, March.
  2. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 32, July-Dece.
  3. Hong‐Chih Huang, 2010. "Optimal Multiperiod Asset Allocation: Matching Assets to Liabilities in a Discrete Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(2), pages 451-472, June.
  4. Zou, Bin & Cadenillas, Abel, 2014. "Explicit solutions of optimal consumption, investment and insurance problems with regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 159-167.
  5. Nielsen, Peter Holm & Steffensen, Mogens, 2008. "Optimal investment and life insurance strategies under minimum and maximum constraints," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 15-28, August.
  6. Kwak, Minsuk & Shin, Yong Hyun & Choi, U Jin, 2011. "Optimal investment and consumption decision of a family with life insurance," Insurance: Mathematics and Economics, Elsevier, vol. 48(2), pages 176-188, March.
  7. M. Mercè Claramunt & Maite Mármol & Xavier Varea, 2023. "Facing a Risk: To Insure or Not to Insure—An Analysis with the Constant Relative Risk Aversion Utility Function," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
  8. Perera, Ryle S., 2010. "Optimal consumption, investment and insurance with insurable risk for an investor in a Lévy market," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 479-484, June.
  9. Yang Wang & Jianwei Lin & Dandan Chen & Jizhou Zhang, 2023. "Optimal Investment–Consumption–Insurance Problem of a Family with Stochastic Income under the Exponential O-U Model," Mathematics, MDPI, vol. 11(19), pages 1-19, October.
  10. Zou, Bin & Cadenillas, Abel, 2014. "Optimal investment and risk control policies for an insurer: Expected utility maximization," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 57-67.
  11. Ryle Perera, 2013. "Optimal investment, consumption–leisure, insurance and retirement choice," Annals of Finance, Springer, vol. 9(4), pages 689-723, November.
  12. 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.
  13. Hun Seog, S. & Hong, Jimin, 2022. "Market insurance and endogenous saving with multiple loss states," The North American Journal of Economics and Finance, Elsevier, vol. 61(C).
  14. Li, Wenyuan & Tan, Ken Seng & Wei, Pengyu, 2021. "Demand for non-life insurance under habit formation," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 38-54.
  15. Yang Shen & Bin Zou, 2021. "Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process," Papers 2101.03954, arXiv.org.
  16. Ailing Gu & Xinya He & Shumin Chen & Haixiang Yao, 2023. "Optimal Investment-Consumption and Life Insurance Strategy with Mispricing and Model Ambiguity," Methodology and Computing in Applied Probability, Springer, vol. 25(3), pages 1-19, September.
  17. Bin Zou & Abel Cadenillas, 2017. "Optimal Investment and Liability Ratio Policies in a Multidimensional Regime Switching Model," Risks, MDPI, vol. 5(1), pages 1-22, January.
  18. Huang, Jianhui & Wang, Guangchen & Wu, Zhen, 2010. "Optimal premium policy of an insurance firm: Full and partial information," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 208-215, October.
  19. Young, Virginia R., 2017. "Purchasing casualty insurance to avoid lifetime ruin," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 133-142.
  20. Burren, Daniel, 2013. "Insurance demand and welfare-maximizing risk capital—Some hints for the regulator in the case of exponential preferences and exponential claims," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 551-568.
  21. Hugo E. Ramirez & Rafael Serrano, 2023. "Optimal investment with insurable background risk and nonlinear portfolio allocation frictions," Papers 2303.04236, arXiv.org.
  22. Liu, Wenyue & Cadenillas, Abel, 2023. "Optimal insurance contracts for a shot-noise Cox claim process and persistent insured's actions," Insurance: Mathematics and Economics, Elsevier, vol. 109(C), pages 69-93.
  23. Wei, Jiaqin & Cheng, Xiang & Jin, Zhuo & Wang, Hao, 2020. "Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 244-256.
  24. Bin Zou & Abel Cadenillas, 2014. "Optimal Investment and Risk Control Problem for an Insurer: Expected Utility Maximization," Papers 1402.3560, arXiv.org, revised Mar 2014.
  25. Jin Sun & Ryle S. Perera & Pavel V. Shevchenko, 2019. "Optimal Investment-Consumption-Insurance with Durable and Perishable Consumption Goods in a Jump Diffusion Market," Papers 1903.00631, arXiv.org.
  26. Zheng, Xiaoxiao & Zhou, Jieming & Sun, Zhongyang, 2016. "Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 77-87.
  27. Li, Danping & Li, Dongchen & Young, Virginia R., 2017. "Optimality of excess-loss reinsurance under a mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 82-89.
  28. Wei-Ting Pan, 2016. "The Impact of Mandatory Savings on Life Cycle Consumption and Portfolio Choice," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2016.
  29. Shen, Yang & Zou, Bin, 2021. "Mean–variance investment and risk control strategies — A time-consistent approach via a forward auxiliary process," Insurance: Mathematics and Economics, Elsevier, vol. 97(C), pages 68-80.
  30. Bin Zou & Abel Cadenillas, 2014. "Explicit Solutions of Optimal Consumption, Investment and Insurance Problem with Regime Switching," Papers 1402.3562, arXiv.org, revised Jun 2014.
  31. Ramírez, H & Serrano, R, 2023. "Optimal investment with insurable background risk and nonlinear portfolio allocation frictions," Documentos de Trabajo 20658, Universidad del Rosario.
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