Optimal control of risk exposure, reinsurance and investments for insurance portfolios

By C. Irgens, Jostein Paulsen. 2004

115 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/c6312d8646cb46786c9a8a395e00f993bf66614c

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. Zhibin Liang
2. Minghe Zhou
3. Kam Chuen Yuen
4. Xiang Lin
5. Yanfang Li
6. Yiping Qian
7. Junna Bi
8. Jun Cai

In Finance

1. Zhibin Liang
2. Kam Chuen Yuen
3. Xiang Lin
4. Yanfang Li
5. Yiping Qian
6. Minghe Zhou
7. Junna Bi
8. Jun Cai

In Management Science and Operations Research

1. Zhibin Liang
2. Minghe Zhou
3. Kam Chuen Yuen
4. Xiang Lin
5. Yiping Qian
6. Junna Bi
7. Jun Cai

Citations in the corpus

• Optimal dynamic reinsurance with dependent risks: variance premium principle (2016, background): “See, for example, Schmidli (2001), Irgens & Paulsen (2004), Promislow & Young (2005), Liang et al. (2011), and Liang & Young (2012).”
• Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model (2011, background): “Irgens and Paulsen (2004) incorporated a proportional reinsurance in an optimal investment problem of an insurer and derived an optimal investment-reinsurance strategy in a diffusion model for insurance surpluses.”
• Optimal proportional reinsurance with common shock dependence (2015, background): “See, for example, Irgens and Paulsen (2004), Yang and Zhang (2005), Liang et al. (2011), Liang and Yuen (2014), and references therein.”
• Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, methodology): “An early scientific contribution to portfolio selection was made by the work of Markowitz (1952), where an elegant mathematical model for portfolio selection was introduced.”