Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model

By Zhongfei Li, Yan Zeng, Yongzeng Lai. 2012

167 citations recorded by the source corpus.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/a424e53cfc5e81fc2dc3172dbc70ad21ebe322d0

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. Zhongfei Li
2. Yan Zeng
3. Frederi G. Viens
4. Yongwu Li
5. Bo Yi
6. Xiang Lin
7. Ping Chen
8. Zhou Yang

In Finance

1. Zhongfei Li
2. Yan Zeng
3. Frederi G. Viens
4. Yongwu Li
5. Yiping Qian
6. Xiang Lin
7. Bo Yi
8. Haixiang Yao

Citations in the corpus

• 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): “…the optimal time-consistent investment and reinsurance strategies for insurers under the mean–variance criterion with the Black–Scholes model, Li et al. (2012) consider the optimal time-consistent investment and reinsurance strategies for an insurer under Heston’s stochastic volatility…”
• Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model (2013, background): “…has been studied by many scholars in various areas, for example, optimal investment and/or reinsurance (see Delong and Gerrard, 2007, Bai and Zhang, 2008 and Li et al., 2012) and asset–liability management (see Chiu and Li, 2006, Chen et al., 2008, Leippold et al., 2011 and Yao et al., 2013a,b).”
• 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.”
• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, methodology): “The question of optimal reinsurance and investment under Heston’s SV model was just introduced in the paper Li et al. (2012), which pioneers the investigation of an optimal time-consistent strategy for insurers, and includes a closed-form solution by solving an extended Hamilton-Jacobi-Bellman…”