Optimal investment-reinsurance policy for an insurance company with VaR constraint

By Shumin Chen, Zhongfei Li, K. Li. 2010

92 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/4a96bc25add844a2302d3cd47ef5ade9a293f5b0

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. Zhongfei Li
2. Yan Zeng
3. Frederi G. Viens
4. Yongwu Li
5. Yongzeng Lai
6. Bo Yi
7. Yang Shen
8. Pei Wang

In Economics and Econometrics

1. Zhongfei Li
2. Yan Zeng
3. Yongwu Li
4. Frederi G. Viens
5. Yongzeng Lai
6. Bo Yi
7. Yang Shen
8. Jun Cai

In Management Science and Operations Research

1. Yan Zeng
2. Yongwu Li
3. Zhongfei Li
4. Frederi G. Viens
5. Yongzeng Lai
6. Bo Yi
7. Yang Shen

Citations in the corpus

• Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, methodology): “…works well for large insurance portfolios since each claim is relatively small compared to the size of surplus, and this model has been widely used in the literature, for example, Browne (1995), Promislow and Young (2005), Gerber and Shiu (2006), Bai and Guo (2008), Chen et al. (2010), and so on.”
• 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 optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, background): “For example, Bai & Guo (2008), Luo (2009), Azcue & Muler (2009) and Chen et al. (2010) investigated the optimal reinsurance and/or investment strategies for insurers to minimize the ruin probability under different market assumptions; Bäuerle (2005), Delong & Gerrard (2007), Bai & Zhang (2008),…”
• 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.”