Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
245 citations recorded by the source corpus.
Subfields: Demography, Economics and Econometrics, Management Science and Operations Research
View Paper: https://www.semanticscholar.org/paper/d462575d9322d4e5a2d377efdcf63dccb833d8b3
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Citations in the corpus
- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model (2016, background): “Zhang et al. (2009) extended the model of Bai & Guo (2008) by incorporating transaction costs.”
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011, methodology): “The DA model has been used in much existing literature, for example, Browne (1995), Promislow and Young (2005), Gerber and Shiu (2006), Bai and Guo (2008), Cao and Wan (2009), Chen et al. (2010), Gu et al. (2010), and so on.”
- Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, background): “(3) The myopic demand ξ γ is affected by an aggregate risk-aversion γ = m + β.”
- Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion (2013, background): “All rights reserved. http://dx.doi.org/10.1016/j.insmatheco.2013.03.008 Xu et al. (2008), Cao and Wan (2009), Chen et al. (2010), Bai and Guo (2008) and Gu et al. (2010) and references therein.”
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (2018, background): “…Schmidli (2002) considered the optimal reinsurance-investment problemofminimizing ruin probability; Bäuerle (2005) studied the optimal reinsurance problem with a mean–variance criterion; Bai and Guo (2008) focused on https://doi.org/10.1016/j.insmatheco.2018.03.004 0167-6687/© 2018 Elsevier B.V.”
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, methodology): “…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 and Muler (2009) investigated the optimal investment and reinsurance strategies to…”
- Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection (2010, methodology): “Proposition 4.1. For all x> 0, ψ(x) ψp(x) ,w hereψp(x) is the minimal probability of ruin for the proportional reinsurance model (see Theorem 4.1 in [ 2 ]).”
- Robust non-zero-sum stochastic differential reinsurance game (2016, background): “Bai and Guo (2008) study the IR optimization problem of maximizing exponential utility with a no-shorting constraint.”
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks (2014, background): “Gu, Guo, Li, Zeng[17](2012) firstly model the stock price in a constant elasticity of variance (abbr.”