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Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion
Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen - In: International journal of financial engineering 6 (2019) 1, pp. 1-45
Persistent link: https://www.econbiz.de/10012028852
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Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Scandinavian actuarial journal 2023 (2023) 2, pp. 123-152
Persistent link: https://www.econbiz.de/10014325034
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Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
Gu, Ailing; Viens, Frederi G.; Yi, Bo - In: Insurance / Mathematics & economics 72 (2017), pp. 235-249
Persistent link: https://www.econbiz.de/10011694708
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Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
Gu, Ailing; Viens, Frederi G.; Yao, Haixiang - In: Insurance / Mathematics & economics 80 (2018), pp. 93-109
Persistent link: https://www.econbiz.de/10011872916
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Asset allocation under stochastic interest rate with regime switching
Shen, Yang; Siu, Tak Kuen - In: Economic modelling 29 (2012) 4, pp. 1126-1136
Persistent link: https://www.econbiz.de/10009667429
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Long-term investment with stochastic interest and inflation rates : the need for inflation-indexed bonds
Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Economic modelling 67 (2017), pp. 228-247
Persistent link: https://www.econbiz.de/10011813816
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A diffusion model for long-term optimization in the presence of stochastic interest and inflation rates
Mkaouar, Farid; Prigent, Jean-Luc; Abid, Ilyes - In: Computational economics 54 (2019) 1, pp. 367-417
Persistent link: https://www.econbiz.de/10012134192
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Optimal insurance portfolio risk-adjusted performance through dynamic stochastic programming
Consigli, Giorgio; Moriggia, Vittorio; Vitali, Sebastiano; … - In: Computational Management Science : CMS 15 (2018) 3/4, pp. 599-632
Persistent link: https://www.econbiz.de/10011923011
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Hedging longevity risk in defined contribution pension schemes
Agarwal, Ankush; Ewald, Christian; Wang, Yongjie - In: Computational management science 20 (2023) 1, pp. 1-34
Persistent link: https://www.econbiz.de/10014228476
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Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model
Zhu, Huainian; Cao, Ming; Zhang, Chengke - In: Finance research letters 30 (2019), pp. 280-291
Persistent link: https://www.econbiz.de/10012420819