Optimal investment for insurer with jump-diffusion risk process

By Hailiang Yang, Lihong Zhang. 2005

330 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/50e7da379a927edb3ad2a0c7fc40055d5fc00de5

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. Kam Chuen Yuen
5. Minghe Zhou
6. Guohui Guan
7. Robert J. R. Elliott
8. Yongzeng Lai

In Economics and Econometrics

1. Zhongfei Li
2. Yan Zeng
3. Tak Kuen Siu
4. Kam Chuen Yuen
5. Xiang Lin
6. Yongzeng Lai
7. Guohui Guan
8. Zhibin Liang

In Management Science and Operations Research

1. Yan Zeng
2. Zhongfei Li
3. Zhibin Liang
4. Kam Chuen Yuen
5. Minghe Zhou
6. Xiang Lin
7. Junyi Guo
8. Yongzeng Lai

Citations in the corpus

• Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection (2010, background): “Later, [ 13 ] considered the same optimal investment problem, for a risk process modelled by a jump-diffusion process.”
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011, methodology): “Yang and Zhang (2005) study the optimal investment policies for an insurer who maximizes the expected exponential utility of the terminal wealth or maximizes the survival probability, where the ✩ This research is supported by grants of the National Science Foundation for Distinguished Young…”
• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, background): “Zhang, Korn and Ewald[36](2007) extended the Fisher's equation under the risk-neutral measure.”
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, background): “For example, Browne (1995), Yang and Zhang (2005), Wang (2007) and Xu et al. (2008) studied the optimal investment strategies to maximize insurers’ expected exponential utility from the terminal wealth under different market assumptions; Bai and Guo (2008), Luo et al. (2008), Luo (2009) and Azcue…”
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, methodology): “Instead of using diffusion models for insurers’ surpluses, Yang & Zhang (2005) developed a jump-diffusion model for the surplus of an insurer and derived an optimal investment policy that maximizes the expected exponential utility of terminal wealth.”
• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, background): “See Yang & Zhang (2005) for the traditional models.”