Constant elasticity of variance model for proportional reinsurance and investment strategies

By Mengdi Gu, Yipeng Yang, Shoude Li, Jingyi Zhang. 2010

121 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/50d9eba76a62bd671a136725b52bdd57cad84b6c

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. Yang Shen
5. Jun Cai
6. Junna Bi

In Economics and Econometrics

1. Yan Zeng
2. Zhongfei Li
3. Yongwu Li
4. Yang Shen
5. Jun Cai
6. Junna Bi
7. Ailing Gu
8. Lv Chen

In Finance

1. Zhongfei Li
2. Yan Zeng
3. Yongwu Li
4. Yang Shen
5. Jun Cai
6. Junna Bi
7. Lv Chen
8. Frederi G. Viens

Citations in the corpus

• 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.”
• 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.”