Optimal investment and reinsurance strategies for an insurer with regime-switching

No abstract is available for this paper.

• Publication year

  2024

• Venue

  Mathematics and Financial Economics

• Publication date

  2024-08-21

• Fields of study

  Not labeled

• Identifiers
  DOI 10.1007/s11579-024-00374-y
• External record

  Open on Semantic Scholar

• Source metadata

  Semantic Scholar

• No claims are published for this paper.

• No concepts are published for this paper.

• Optimal investment and reinsurance on survival and growth problems for the risk model with common shock dependence

  2022cited by this paper
• Optimal investment and reinsurance strategies for an insurer with stochastic economic factor

  2022influential reference
• Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model

  2021cited by this paper
• Optimal investment and reinsurance of insurers with lognormal stochastic factor model

  2021cited by this paper
• Probability theory

  2020influential reference
• Stochastic differential games for optimal investment problems in a Markov regime-switching jump-diffusion market

  2020cited by this paper
• Portfolio selection with regime-switching and state-dependent preferences

  2020cited by this paper
• Optimal investment and reinsurance with premium control

  2020cited by this paper
• Robust optimal investment and reinsurance of an insurer under Jump-diffusion models

  2019cited by this paper
• Optimal mean–variance investment/reinsurance with common shock in a regime-switching market

  2019cited by this paper
• Optimal mean–variance investment and reinsurance problem for an insurer with stochastic volatility

  2018cited by this paper
• Time-consistent mean–variance portfolio optimization: A numerical impulse control approach

  2018cited by this paper
• Optimal proportional reinsurance and investment for stochastic factor models

  2018cited by this paper
• Optimal reinsurance and investment problem in a defaultable market

  2018cited by this paper
• Optimal investment of variance-swaps in jump-diffusion market with regime-switching

  2017cited by this paper
• Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling

  2016cited by this paper
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model

  2016cited by this paper
• Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence

  2016cited by this paper
• Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model

  2016cited by this paper
• Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process☆

  2015cited by this paper
• Explicit solutions of optimal consumption, investment and insurance problems with regime switching

  2014cited by this paper
• Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach☆

  2014cited by this paper
• Optimal investment-reinsurance with dynamic risk constraint and regime switching

  2013cited by this paper
• Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

  2013cited by this paper
• Optimal proportional reinsurance and investment with regime-switching for mean–variance insurers

  2013cited by this paper
• A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model and Its Application to Finance

  2012cited by this paper
• Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

  2012cited by this paper
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers

  2011cited by this paper
• DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING

  2011cited by this paper
• Optimal reinsurance/investment problems for general insurance models.

  2009cited by this paper
• Optimal investment and reinsurance of an insurer with model uncertainty

  2009cited by this paper
• EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING

  2009cited by this paper
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

  2008cited by this paper
• Dynamic mean-variance problem with constrained risk control for the insurers

  2008cited by this paper
• Dynamic Control of the Investment Portfolio in the Jump-Diffusion Financial Market with Regime Switching

  2005cited by this paper
• Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift

  2005cited by this paper
• Asymptotics of Ruin Probabilities for Risk Processes under Optimal Reinsurance and Investment Policies: The Large Claim Case

  2004cited by this paper
• Applied Stochastic Control of Jump Diffusions

  2004cited by this paper
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model

  2003cited by this paper
• Optimal portfolio choice for unobservable and regime-switching mean returns

  2003cited by this paper
• Optimal dynamic reinsurance policies for large insurance portfolios

  2003cited by this paper
• On minimizing the ruin probability by investment and reinsurance

  2002cited by this paper
• Hidden Markov Models: Estimation and Control

  1994influential reference
• Limit Theorems for Stochastic Processes

  1987cited by this paper
• Optimum Consumption and Portfolio Rules in a Continuous-Time Model*

  1975cited by this paper

• The Application of Stochastic ICIM Model in the Decision-Making Processes of Insurance Product Management

  2025cites this paper
• Optimal Reinsurance and Investment Problems for Two Cooperative Insurers and One Reinsurer

  2025cites this paper