Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

114 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018, result): “In this regard, Figure 2(b) is consistent with the literature on optimal reinsurance from the insurer’s perspective only (see, e.g., Figure 1(c) in Zeng et al. (2013) andFigure 1 in Li et al. (2017)).”
Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013, background): “…the Black–Scholes model, Li et al. (2012) consider the optimal time-consistent investment and reinsurance strategies for an insurer under Heston’s stochastic volatility model, and Zeng et al. (2013) study an optimal investment and reinsurance problem incorporating jumps for mean–variance insurers.”
Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2016, background): “For more details, we refer the reader to Björk and Murgoci (2010), Zeng et al. (2013), Li and Li (2013), Björk et al. (2014) and references therein.”