On reinsurance and investment for large insurance portfolios

Citations

Cited by:

1. Gu, Ailing & Guo, Xianping & Li, Zhongfei & Zeng, Yan, 2012. "Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 674-684.
2. Hiroaki Hata & Shuenn-Jyi Sheu & Li-Hsien Sun, 2019. "Expected exponential utility maximization of insurers with a general diffusion factor model : The complete market case," Papers 1903.08957, arXiv.org.
3. Sheng Delei & Xing Linfang, 2018. "Optimal Insurance-Package and Investment Problem for an Insurer," Journal of Systems Science and Information, De Gruyter, vol. 6(1), pages 85-96, February.
4. Qicai Li & Mengdi Gu & Zhibing Liang, 2014. "Optimal excess-of-loss reinsurance and investment polices under the CEV model," Annals of Operations Research, Springer, vol. 223(1), pages 273-290, December.
5. Zhang, Xin-Li & Zhang, Ke-Cun & Yu, Xing-Jiang, 2009. "Optimal proportional reinsurance and investment with transaction costs, I: Maximizing the terminal wealth," Insurance: Mathematics and Economics, Elsevier, vol. 44(3), pages 473-478, June.
6. Caibin Zhang & Zhibin Liang & Kam Chuen Yuen, 2019. "Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 6(01), pages 1-45, March.
7. Edoli, Enrico & Runggaldier, Wolfgang J., 2010. "On optimal investment in a reinsurance context with a point process market model," Insurance: Mathematics and Economics, Elsevier, vol. 47(3), pages 315-326, December.
8. Zhu, Huiming & Deng, Chao & Yue, Shengjie & Deng, Yingchun, 2015. "Optimal reinsurance and investment problem for an insurer with counterparty risk," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 242-254.
9. Liang, Zhibin & Yuen, Kam Chuen & Guo, Junyi, 2011. "Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 207-215, September.
10. Xu, Lin & Zhang, Liming & Yao, Dingjun, 2017. "Optimal investment and reinsurance for an insurer under Markov-modulated financial market," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 7-19.
11. Chen, Shumin & Liu, Yanchu & Weng, Chengguo, 2019. "Dynamic risk-sharing game and reinsurance contract design," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 216-231.
12. Li, Zhongfei & Zeng, Yan & Lai, Yongzeng, 2012. "Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 51(1), pages 191-203.
13. Bai, Lihua & Guo, Junyi, 2008. "Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 968-975, June.
14. Chen, Zhiping & Yang, Peng, 2020. "Robust optimal reinsurance–investment strategy with price jumps and correlated claims," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 27-46.
15. Chen, Shumin & Li, Zhongfei & Li, Kemian, 2010. "Optimal investment-reinsurance policy for an insurance company with VaR constraint," Insurance: Mathematics and Economics, Elsevier, vol. 47(2), pages 144-153, October.
16. Liang, Zhibin & Bayraktar, Erhan, 2014. "Optimal reinsurance and investment with unobservable claim size and intensity," Insurance: Mathematics and Economics, Elsevier, vol. 55(C), pages 156-166.
17. Peng, Xingchun & Chen, Fenge & Hu, Yijun, 2014. "Optimal investment, consumption and proportional reinsurance under model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 222-234.
18. Luo, Shangzhen & Taksar, Michael, 2011. "On absolute ruin minimization under a diffusion approximation model," Insurance: Mathematics and Economics, Elsevier, vol. 48(1), pages 123-133, January.
19. Yan, Tingjin & Park, Kyunghyun & Wong, Hoi Ying, 2022. "Irreversible reinsurance: A singular control approach," Insurance: Mathematics and Economics, Elsevier, vol. 107(C), pages 326-348.
20. He, Yue & Kawai, Reiichiro, 2022. "Moment and polynomial bounds for ruin-related quantities in risk theory," European Journal of Operational Research, Elsevier, vol. 302(3), pages 1255-1271.
21. Pun, Chi Seng & Wong, Hoi Ying, 2016. "Robust non-zero-sum stochastic differential reinsurance game," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 169-177.
22. Zeng, Xudong & Luo, Shangzhen, 2013. "Stochastic Pareto-optimal reinsurance policies," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 671-677.
23. Haiying Zhou & Huainian Zhu, 2024. "Optimal Reinsurance and Derivative-Based Investment Decisions for Insurers with Mean-Variance Preference," Mathematics, MDPI, vol. 12(13), pages 1-20, June.
24. Kun Wu & Weixing Wu, 2016. "Optimal Controls for a Large Insurance Under a CEV Model: Based on the Legendre Transform-Dual Method," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 14(2), pages 167-178, December.
25. Hiroaki Hata & Kazuhiro Yasuda, 2024. "Expected Power Utility Maximization of Insurers," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 31(3), pages 543-577, September.
26. Zilan Liu & Yijun Wang & Ya Huang & Jieming Zhou, 2022. "Optimal Time-Consistent Investment and Premium Control Strategies for Insurers with Constraint under the Heston Model," Mathematics, MDPI, vol. 10(7), pages 1-22, March.
27. Peng, Xingchun & Hu, Yijun, 2013. "Optimal proportional reinsurance and investment under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 53(2), pages 416-428.
28. Landriault, David & Li, Bin & Li, Danping & Li, Dongchen, 2016. "A pair of optimal reinsurance–investment strategies in the two-sided exit framework," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 284-294.