Optimal time-consistent investment and reinsurance policies for mean-variance insurers

By Yan Zeng, Zhongfei Li. 2011

242 citations recorded by the source corpus.

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

View Paper: https://www.semanticscholar.org/paper/92b51969cd028d532a8397f5e05bfe5c377e8e8c

How researchers see this paper

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

In Economics and Econometrics

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

In Finance

1. Zhongfei Li
2. Yang Shen
3. Yan Zeng
4. Lv Chen
5. Jun Cai
6. Junna Bi
7. Zongxia Liang
8. Guohui Guan

In Management Science and Operations Research

1. Yang Shen
2. Yan Zeng
3. Lv Chen
4. Guohui Guan
5. Yongwu Li
6. Xiang Lin
7. Yiping Qian
8. Zhongfei Li

Citations in the corpus

• ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018, background): “Further investigations to optimal investment and reinsurance problems can be found in Zhang and Siu (2009), Zeng and Li (2011), Lin et al. (2012), Chen and Yam (2013), Shen and Zeng (2014, 2015) and Zhao et al. (2016), just to name a few.”
• Nash equilibrium strategies for a defined contribution pension management (2015, background): “Zeng and Li (2011) and Li et al. (2012) investigate the mean–variance time-consistent investment and reinsurance policies for an insurer under continuous-time setting.”
• Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013, background): “In Section 6, we compare our results with the those of Zeng and Li (2011) for the case with constant risk aversion.”
• Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, background): “Zeng and Li[34](2011)also essentially gets the mean-variance efficient frontier of the diffusion model with multiple risky assets.”
• Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (2018, background): “All rights reserved. the optimal reinsurance-investment problem by maximizing exponential utility with a no-shorting constraint; Zeng and Li (2011) considered the optimal time-consistent reinsurance-investment problem with mean variance criterion; Gu et al. (2012) investigated the optimal…”
• Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets (2019, background): “Further work about time inconsistent problem was discussed in Zeng and Li (2011) and Wu and Zeng (2015).”
• Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, background): “…as we know, there is little work in the literature on the optimal portfolio strategies under the mean-variance criterion with SV models, and only Zeng and Li (2011) have considered the optimal time-consistent investment and reinsurance strategies for insurers under themean-variance…”
• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, background): “…strategies for insurers to minimize the ruin probability under different market assumptions; Bäuerle (2005), Delong & Gerrard (2007), Bai & Zhang (2008), Zeng et al. (2010) and Zeng & Li (2011) studied the optimal reinsurance and investment strategies for insurers with mean-variance criteria.”
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, background): “Zeng & Li (2011) and Li et al. (2012) only considered the problem in the diffusion risk model.”