Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process

By Zhibin Liang, Kam Chuen Yuen, Junyi Guo. 2011

118 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4e11197b5a9c8d87adc6c57f7452bddc16b6541e

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. Zhibin Liang
4. Frederi G. Viens
5. Minghe Zhou
6. Kam Chuen Yuen
7. Bo Yi
8. Junna Bi

In Finance

1. Zhongfei Li
2. Yan Zeng
3. Frederi G. Viens
4. Bo Yi
5. Zhibin Liang
6. Kam Chuen Yuen
7. Minghe Zhou
8. Jun Cai

In Management Science and Operations Research

1. Yan Zeng
2. Zhibin Liang
3. Zhongfei Li
4. Minghe Zhou
5. Frederi G. Viens
6. Kam Chuen Yuen
7. Bo Yi
8. Junna Bi

Citations in the corpus

• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, background): “Liang et al. (2011) assumed that the risk premium satisfies an OrnsteinUhlenbeck (OU) process, and derived the explicit expression for an optimal strategy with reinsurance and investment.”
• Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “See, for example, Schmidli (2001), Irgens & Paulsen (2004), Promislow & Young (2005), Liang et al. (2011), and Liang & Young (2012).”
• Optimal proportional reinsurance with common shock dependence (2015, background): “This result is in line with the one in Theorems 4.1 and 5.2 of Liang et al. (2011).”