Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

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Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (2018, background): “…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 excess-of-loss reinsurance and investment problem with a Constant-Elasticity-of-Variance model.”
Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, background): “Gu et al. (2012) considered the optimal reinsurance and investment strategies for an insurer under a CEV model, where the volatility of the risky asset was dependent on the price of the risky asset.”
Optimal reinsurance and investment problem for an insurer with counterparty risk (2015, unknown): “Representative papers on this modelling approach include Stein and Stein (1991), which includes a Gaussian volatility process; Heston (1993), which includes a square-root variance process; and Jones (2003), which includes a constant elasticity variance (CEV) process.”