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

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  1. Li, Yongwu & Qiao, Han & Wang, Shouyang & Zhang, Ling, 2015. "Time-consistent investment strategy under partial information," Insurance: Mathematics and Economics, Elsevier, vol. 65(C), pages 187-197.
  2. 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.
  3. Cheng, Yuyang & Escobar-Anel, Marcos, 2023. "A class of portfolio optimization solvable problems," Finance Research Letters, Elsevier, vol. 52(C).
  4. Jinzhi Li & Haiying Liu, 2015. "Optimal Investment for the Insurers in Markov-Modulated Jump-Diffusion Models," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 143-156, June.
  5. 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.
  6. Ya Huang & Xiangqun Yang & Jieming Zhou, 2017. "Robust optimal investment and reinsurance problem for a general insurance company under Heston model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 305-326, April.
  7. Shen, Yang & Zeng, Yan, 2015. "Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 118-137.
  8. Van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2018. "Time-consistent mean–variance portfolio optimization: A numerical impulse control approach," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 9-28.
  9. Walter Mudzimbabwe, 2020. "A time consistent derivative strategy," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-25, March.
  10. Yao, Haixiang & Yang, Zhou & Chen, Ping, 2013. "Markowitz’s mean–variance defined contribution pension fund management under inflation: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 851-863.
  11. Yanfei Bai & Zhongbao Zhou & Helu Xiao & Rui Gao & Feimin Zhong, 2019. "A hybrid stochastic differential reinsurance and investment game with bounded memory," Papers 1910.09834, arXiv.org.
  12. Chang Guo & Xiaoyang Zhuo & Corina Constantinescu & Olivier Menoukeu Pamen, 2018. "Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1477-1502, December.
  13. Wang, Hao & Wang, Rongming & Wei, Jiaqin, 2019. "Time-consistent investment-proportional reinsurance strategy with random coefficients for mean–variance insurers," Insurance: Mathematics and Economics, Elsevier, vol. 85(C), pages 104-114.
  14. Alia, Ishak & Chighoub, Farid & Sohail, Ayesha, 2016. "A characterization of equilibrium strategies in continuous-time mean–variance problems for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 212-223.
  15. Yang, Yang & Wang, Guojing & Yao, Jing, 2024. "Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 79-107.
  16. Ying Zhao & Hui Mi & Lixia Xu, 2022. "Robust Optimal Investment Problem with Delay under Heston’s Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1271-1296, June.
  17. Martijn Pistorius & Mitja Stadje, 2016. "On Dynamic Deviation Measures and Continuous-Time Portfolio Optimisation," Papers 1604.08037, arXiv.org.
  18. Li, Yongwu & Li, Zhongfei, 2013. "Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 86-97.
  19. Zhu, Huainian & Cao, Ming & Zhang, Chengke, 2019. "Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model," Finance Research Letters, Elsevier, vol. 30(C), pages 280-291.
  20. 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.
  21. Jiaqi Zhu & Shenghong Li, 2020. "Time-Consistent Investment and Reinsurance Strategies for Mean-Variance Insurers under Stochastic Interest Rate and Stochastic Volatility," Mathematics, MDPI, vol. 8(12), pages 1-22, December.
  22. 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.
  23. Zhao, Hui & Rong, Ximin & Zhao, Yonggan, 2013. "Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 504-514.
  24. Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan, 2013. "Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 601-614.
  25. van Staden, Pieter M. & Dang, Duy-Minh & Forsyth, Peter A., 2021. "The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors," European Journal of Operational Research, Elsevier, vol. 289(2), pages 774-792.
  26. Wang Chunfeng & Chang Hao & Fang Zhenming, 2017. "Optimal Consumption and Portfolio Decision with Heston’s SV Model Under HARA Utility Criterion," Journal of Systems Science and Information, De Gruyter, vol. 5(1), pages 21-33, February.
  27. Yanfei Bai & Zhongbao Zhou & Helu Xiao & Rui Gao & Feimin Zhong, 2021. "A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(3), pages 341-381, December.
  28. 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.
  29. Wu, Huiling & Zhang, Ling & Chen, Hua, 2015. "Nash equilibrium strategies for a defined contribution pension management," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 202-214.
  30. Zeng, Yan & Li, Zhongfei & Lai, Yongzeng, 2013. "Time-consistent investment and reinsurance strategies for mean–variance insurers with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 52(3), pages 498-507.
  31. Wang, Pei & Li, Zhongfei, 2018. "Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 67-83.
  32. Deng, Chao & Zeng, Xudong & Zhu, Huiming, 2018. "Non-zero-sum stochastic differential reinsurance and investment games with default risk," European Journal of Operational Research, Elsevier, vol. 264(3), pages 1144-1158.
  33. A, Chunxiang & Li, Zhongfei, 2015. "Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 181-196.
  34. Meng, Hui & Li, Shuanming & Jin, Zhuo, 2015. "A reinsurance game between two insurance companies with nonlinear risk processes," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 91-97.
  35. 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.
  36. Guan, Guohui & Liang, Zongxia & Feng, Jian, 2018. "Time-consistent proportional reinsurance and investment strategies under ambiguous environment," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 122-133.
  37. Bai, Yanfei & Zhou, Zhongbao & Xiao, Helu & Gao, Rui & Zhong, Feimin, 2022. "A hybrid stochastic differential reinsurance and investment game with bounded memory," European Journal of Operational Research, Elsevier, vol. 296(2), pages 717-737.
  38. Xue, Xiaole & Wei, Pengyu & Weng, Chengguo, 2019. "Derivatives trading for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 40-53.
  39. Wu, Huiling & Chen, Hua, 2015. "Nash equilibrium strategy for a multi-period mean–variance portfolio selection problem with regime switching," Economic Modelling, Elsevier, vol. 46(C), pages 79-90.
  40. Lu Yang & Chengke Zhang & Huainian Zhu, 2022. "Robust Stochastic Stackelberg Differential Reinsurance and Investment Games for an Insurer and a Reinsurer with Delay," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 361-384, March.
  41. Xue Dong He & Xun Yu Zhou, 2021. "Who Are I: Time Inconsistency and Intrapersonal Conflict and Reconciliation," Papers 2105.01829, arXiv.org.
  42. Mitja Stadje, 2018. "Representation Results for Law Invariant Recursive Dynamic Deviation Measures and Risk Sharing," Papers 1811.09615, arXiv.org, revised Dec 2018.
  43. Yumo Zhang, 2022. "Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate," Annals of Finance, Springer, vol. 18(4), pages 511-544, December.
  44. Yumo Zhang, 2021. "Dynamic Optimal Mean-Variance Portfolio Selection with a 3/2 Stochastic Volatility," Risks, MDPI, vol. 9(4), pages 1-21, March.
  45. Zhang, Jingong & Tan, Ken Seng & Weng, Chengguo, 2017. "Optimal hedging with basis risk under mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 75(C), pages 1-15.
  46. Li, Danping & Rong, Ximin & Zhao, Hui, 2015. "Time-consistent reinsurance–investment strategy for a mean–variance insurer under stochastic interest rate model and inflation risk," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 28-44.
  47. Nian Yao & Zhiming Yang, 2017. "Optimal excess-of-loss reinsurance and investment problem for an insurer with default risk under a stochastic volatility model," Papers 1704.08234, arXiv.org.
  48. Yan, Tingjin & Wong, Hoi Ying, 2020. "Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 90(C), pages 105-119.
  49. 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.
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