Optimal proportional reinsurance and investment based on Hamilton–Jacobi–Bellman equation

By Yusong Cao, Nianqing Wan. 2009

98 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4306988968a2a101c923357576b7e1d611103278

How researchers see this paper

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

In Demography

1. Yan Zeng
2. Zhongfei Li
3. Yongwu Li
4. Yipeng Yang
5. Xiang Lin
6. Jingyi Zhang
7. Yanfang Li
8. Chi Seng Pun

In Economics and Econometrics

1. Yan Zeng
2. Zhongfei Li
3. Yongwu Li
4. Yiping Qian
5. Xiang Lin
6. Yipeng Yang
7. Jingyi Zhang
8. Yanfang Li

In Management Science and Operations Research

1. Yan Zeng
2. Yongwu Li
3. Xiang Lin
4. Yiping Qian
5. Zhongfei Li
6. Yipeng Yang
7. Jingyi Zhang
8. Chi Seng Pun

Citations in the corpus

• Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model (2011, background): “Cao and Wan (2009) extended the model in Browne (1995) by incorporating proportional reinsurance and obtained optimal investment-reinsurance strategies that * Xiang Lin, CAA, PhD, is an Associate Professor in the School of Mathematics, Central South University, No. 22 South Shaoshan Road, Changsha…”
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, background): “Cao & Wan (2009) extended the model in Browne (1995) by incorporating proportional reinsurance and obtained optimal investment-reinsurance strategies that maximize the expected exponential utility and the expected power utility of terminal wealth.”
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011, methodology): “The DA model has been used in much existing literature, for example, Browne (1995), Promislow and Young (2005), Gerber and Shiu (2006), Bai and Guo (2008), Cao and Wan (2009), Chen et al. (2010), Gu et al. (2010), and so on.”
• Constant elasticity of variance model for proportional reinsurance and investment strategies (2010, methodology): “Cao and Wan (2009) used the geometric Brownian motion to simulate the price of the risky asset.”
• Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013, background): “All rights reserved. http://dx.doi.org/10.1016/j.insmatheco.2013.03.008 Xu et al. (2008), Cao and Wan (2009), Chen et al. (2010), Bai and Guo (2008) and Gu et al. (2010) and references therein.”
• Robust non-zero-sum stochastic differential reinsurance game (2016, background): “Cao and Wan (2009) investigate the Hamilton-Jacobi-Bellman (HJB) equations for related problems.”