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A Stackelberg reinsurance-investment game with derivatives trading
This paper studies a stochastic Stackelberg differential reinsurance-investment game with derivatives trading under a stochastic volatility model....
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The Optimal Reinsurance-Investment Problem Considering the Joint Interests of an Insurer and a Reinsurer under Hara Utility
This paper focuses on an optimal reinsurance and investment problem for an insurance corporation which holds the shares of an insurer and a...
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Optimal Reinsurance and Investment Strategies Under Mean-Variance Criteria: Partial and Full Information
This paper is concerned with an optimal reinsurance and investment problem for an insurance firm under the criterion of mean-variance. The driving...
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Optimal Reinsurance and Investment Strategy with Delay in Heston’s SV Model
In this paper, we consider an optimal investment and proportional reinsurance problem with delay, in which the insurer’s surplus process is described...
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A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
In this paper, we investigate a stochastic Stackelberg differential reinsurance and investment game problem with delay for a reinsurer and an insurer...
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Martingale method for optimal investment and proportional reinsurance
Numerous researchers have applied the martingale approach for models driven by Lévy processes to study optimal investment problems. This paper...
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Optimal Reinsurance Strategy Based on the Lundberg Exponent
In this paper, the authors investigate the optimal per-claim reinsurance problem under the continuous-time framework to minimize the insurer’s ruin...
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On Penalized Goal-Reaching Probability Minimization with a Common Shock for an AAI
The authors consider a robust optimal reinsurance and investment problem in a risk model with two dependent classes of insurance business for an...
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Optimal Claim-Dependent Proportional Reinsurance Under a Self-Exciting Claim Model
This paper investigates an optimal reinsurance problem for an insurance company with self-exciting claims, where the insurer’s historical claims...
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Equilibrium Reinsurance Strategy and Mean Residual Life Function
In this paper, we analyze the relationship between the equilibrium reinsurance strategy and the tail of the distribution of the risk. Since Mean...
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Optimal reinsurance via BSDEs in a partially observable model with jump clusters
We investigate an optimal reinsurance problem when the loss process exhibits jump clustering features and the insurance company has restricted...
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Optimal Timing of Business Conversion for Solvency Improvement
In this paper, we study the optimal timing to convert the risk of business for an insurance company in order to improve its solvency. The cash flow...
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Optimal Reinsurance and Dividend Under Model Uncertainty
In this paper, the authors analyze the optimal reinsurance and dividend problem with model uncertainty for an insurer. Here the model uncertainty...
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Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
We consider an optimal robust investment and reinsurance problem for a general insurance company which holds shares of an insurance company and a...
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The Optimal Deductible and Coverage in Insurance Contracts and Equilibrium Risk Sharing Policies
In this paper, we consider the optimal risk sharing problem between two parties in the insurance business: the insurer and the insured. The risk is...
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Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
This paper considers the non-zero-sum stochastic differential game problem between two ambiguity-averse insurers (AAIs) with common shock. Each AAI’s...
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Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity
This paper investigates the robust time-consistent investment strategy for the defined contribution pension plan with a minimum guarantee in a...
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Optimal investment, consumption, and work effort strategies with stochastic salary under the HLSV model
We consider a Heston local-stochastic volatility (HLSV) model to study the optimal investment, consumption, and work effort strategies for an...
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Optimal mean–variance investment/reinsurance with common shock in a regime-switching market
In this paper, we consider the problem of optimal investment-reinsurance with two dependent classes of insurance risks in a regime-switching...
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Optimal Insurance Strategy Design in a Risk Process under Value-at-Risk Constraints on Capital Increments
The problem of designing an optimal insurance strategy in a new multistep insurance model is investigated. This model introduces stepwise...