Guan, Guohui; Wang, Xiaojun Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. (English) Zbl 1451.91167 Scand. Actuar. J. 2020, No. 8, 677-699 (2020). MSC: 91G05 91B16 PDF BibTeX XML Cite \textit{G. Guan} and \textit{X. Wang}, Scand. Actuar. J. 2020, No. 8, 677--699 (2020; Zbl 1451.91167) Full Text: DOI
Zhang, Qiang; Chen, Ping Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps. (English) Zbl 07241328 Methodol. Comput. Appl. Probab. 22, No. 2, 777-801 (2020). MSC: 91G05 49L20 60H30 60J74 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, Methodol. Comput. Appl. Probab. 22, No. 2, 777--801 (2020; Zbl 07241328) Full Text: DOI
Zhang, Yan; Zhao, Peibiao Optimal reinsurance-investment problem with dependent risks based on Legendre transform. (English) Zbl 1449.91117 J. Ind. Manag. Optim. 16, No. 3, 1457-1479 (2020). MSC: 91G05 93E20 44A15 PDF BibTeX XML Cite \textit{Y. Zhang} and \textit{P. Zhao}, J. Ind. Manag. Optim. 16, No. 3, 1457--1479 (2020; Zbl 1449.91117) Full Text: DOI
Zhang, Yan; Wu, Yonghong; Wiwatanapataphee, Benchawan; Angkola, Francisca Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework. (English) Zbl 1438.91121 J. Ind. Manag. Optim. 16, No. 1, 71-101 (2020). MSC: 91G05 91G30 93E20 60H10 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Ind. Manag. Optim. 16, No. 1, 71--101 (2020; Zbl 1438.91121) Full Text: DOI
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, Wenjun Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion. (English) Zbl 1425.91238 Insur. Math. Econ. 88, 159-180 (2019). MSC: 91B30 91G40 91A80 PDF BibTeX XML Cite \textit{H. Zhao} et al., Insur. Math. Econ. 88, 159--180 (2019; Zbl 1425.91238) Full Text: DOI
Brachetta, Matteo; Ceci, C. Optimal proportional reinsurance and investment for stochastic factor models. (English) Zbl 1410.91257 Insur. Math. Econ. 87, 15-33 (2019). MSC: 91B30 93E20 60G57 PDF BibTeX XML Cite \textit{M. Brachetta} and \textit{C. Ceci}, Insur. Math. Econ. 87, 15--33 (2019; Zbl 1410.91257) Full Text: DOI
Xue, Xiaole; Wei, Pengyu; Weng, Chengguo Derivatives trading for insurers. (English) Zbl 1419.91387 Insur. Math. Econ. 84, 40-53 (2019). MSC: 91B30 91G20 91G10 93E20 PDF BibTeX XML Cite \textit{X. Xue} et al., Insur. Math. Econ. 84, 40--53 (2019; Zbl 1419.91387) Full Text: DOI
Guan, Guohui; Liang, Zongxia; Feng, Jian Time-consistent proportional reinsurance and investment strategies under ambiguous environment. (English) Zbl 1417.91269 Insur. Math. Econ. 83, 122-133 (2018). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{G. Guan} et al., Insur. Math. Econ. 83, 122--133 (2018; Zbl 1417.91269) Full Text: DOI
Sun, Zhongyang; Guo, Junyi Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility. (English) Zbl 1417.91285 Math. Methods Oper. Res. 88, No. 1, 59-79 (2018). MSC: 91B30 91G10 91G80 60H10 PDF BibTeX XML Cite \textit{Z. Sun} and \textit{J. Guo}, Math. Methods Oper. Res. 88, No. 1, 59--79 (2018; Zbl 1417.91285) Full Text: DOI
Ma, Jianjing; Wang, Guojing; Yuan, George Xianzhi Optimal reinsurance and investment problem in a defaultable market. (English) Zbl 1390.91200 Commun. Stat., Theory Methods 47, No. 7, 1597-1614 (2018). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{J. Ma} et al., Commun. Stat., Theory Methods 47, No. 7, 1597--1614 (2018; Zbl 1390.91200) Full Text: DOI
Zhang, Qiang; Chen, Ping Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market. (English) Zbl 1410.91294 Optimization 67, No. 5, 683-699 (2018). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, Optimization 67, No. 5, 683--699 (2018; Zbl 1410.91294) Full Text: DOI
Wang, Yajie; Rong, Ximin; Zhao, Hui Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model. (English) Zbl 1372.91097 J. Comput. Appl. Math. 328, 414-431 (2018). MSC: 91G10 91B30 60J75 93E20 PDF BibTeX XML Cite \textit{Y. Wang} et al., J. Comput. Appl. Math. 328, 414--431 (2018; Zbl 1372.91097) Full Text: DOI
Zhu, Huiming; Huang, Ya; Zhou, Jieming; Yang, Xiangqun; Deng, Chao Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market. (English) Zbl 1376.91101 ANZIAM J. 57, No. 3, 352-368 (2016). MSC: 91B30 60J75 PDF BibTeX XML Cite \textit{H. Zhu} et al., ANZIAM J. 57, No. 3, 352--368 (2016; Zbl 1376.91101) Full Text: DOI
Li, Qi-Cai; Gu, Meng-Di Optimal reinsurance and investment policies with the CEV stock market. (English) Zbl 1359.62457 Acta Math. Appl. Sin., Engl. Ser. 32, No. 3, 647-658 (2016). MSC: 62P05 91B30 PDF BibTeX XML Cite \textit{Q.-C. Li} and \textit{M.-D. Gu}, Acta Math. Appl. Sin., Engl. Ser. 32, No. 3, 647--658 (2016; Zbl 1359.62457) Full Text: DOI
Zhang, Miao; Chen, Ping Mean-variance asset-liability management under constant elasticity of variance process. (English) Zbl 1371.91173 Insur. Math. Econ. 70, 11-18 (2016). MSC: 91G10 60H30 93E20 PDF BibTeX XML Cite \textit{M. Zhang} and \textit{P. Chen}, Insur. Math. Econ. 70, 11--18 (2016; Zbl 1371.91173) Full Text: DOI
Alia, Ishak; Chighoub, Farid; Sohail, Ayesha A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers. (English) Zbl 1369.91074 Insur. Math. Econ. 68, 212-223 (2016). MSC: 91B30 93E20 91G10 60H30 PDF BibTeX XML Cite \textit{I. Alia} et al., Insur. Math. Econ. 68, 212--223 (2016; Zbl 1369.91074) Full Text: DOI
Zheng, Xiaoxiao; Zhou, Jieming; Sun, Zhongyang Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model. (English) Zbl 1348.91195 Insur. Math. Econ. 67, 77-87 (2016). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{X. Zheng} et al., Insur. Math. Econ. 67, 77--87 (2016; Zbl 1348.91195) Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui Stochastic differential game formulation on the reinsurance and investment problem. (English) Zbl 1411.91297 Int. J. Control 88, No. 9, 1861-1877 (2015). MSC: 91B30 91A15 49N70 93E20 60H10 91G60 PDF BibTeX XML Cite \textit{D. Li} et al., Int. J. Control 88, No. 9, 1861--1877 (2015; Zbl 1411.91297) Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui Optimal investment problem for an insurer and a reinsurer. (English) Zbl 1333.91033 J. Syst. Sci. Complex. 28, No. 6, 1326-1343 (2015). MSC: 91B30 93E20 49L20 PDF BibTeX XML Cite \textit{D. Li} et al., J. Syst. Sci. Complex. 28, No. 6, 1326--1343 (2015; Zbl 1333.91033) Full Text: DOI
Liang, Zongxia; Song, Min Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information. (English) Zbl 1348.91168 Insur. Math. Econ. 65, 66-76 (2015). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{Z. Liang} and \textit{M. Song}, Insur. Math. Econ. 65, 66--76 (2015; Zbl 1348.91168) Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk. (English) Zbl 1348.91161 Insur. Math. Econ. 64, 28-44 (2015). MSC: 91B30 93E20 91G10 60H30 PDF BibTeX XML Cite \textit{D. Li} et al., Insur. Math. Econ. 64, 28--44 (2015; Zbl 1348.91161) Full Text: DOI
Zhu, Huiming; Deng, Chao; Yue, Shengjie; Deng, Yingchun Optimal reinsurance and investment problem for an insurer with counterparty risk. (English) Zbl 1314.91150 Insur. Math. Econ. 61, 242-254 (2015). MSC: 91B30 PDF BibTeX XML Cite \textit{H. Zhu} et al., Insur. Math. Econ. 61, 242--254 (2015; Zbl 1314.91150) Full Text: DOI
Shen, Yang; Zeng, Yan Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. (English) Zbl 1318.91123 Insur. Math. Econ. 62, 118-137 (2015). MSC: 91B30 91G10 60H30 PDF BibTeX XML Cite \textit{Y. Shen} and \textit{Y. Zeng}, Insur. Math. Econ. 62, 118--137 (2015; Zbl 1318.91123) Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model. (English) Zbl 1308.91088 J. Comput. Appl. Math. 283, 142-162 (2015). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 283, 142--162 (2015; Zbl 1308.91088) Full Text: DOI
Ma, Hui-qiang Continuous-time mean-variance portfolio selection under the CEV process. (English) Zbl 1406.91419 Abstr. Appl. Anal. 2014, Article ID 363046, 14 p. (2014). MSC: 91G10 90C25 93E20 PDF BibTeX XML Cite \textit{H.-q. Ma}, Abstr. Appl. Anal. 2014, Article ID 363046, 14 p. (2014; Zbl 1406.91419) Full Text: DOI
Sheng, De-Lei; Rong, Ximin; Zhao, Hui Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions. (English) Zbl 1406.91206 Abstr. Appl. Anal. 2014, Article ID 194962, 19 p. (2014). MSC: 91B30 60J75 93E20 PDF BibTeX XML Cite \textit{D.-L. Sheng} et al., Abstr. Appl. Anal. 2014, Article ID 194962, 19 p. (2014; Zbl 1406.91206) Full Text: DOI
Li, Qicai; Gu, Mengdi; Liang, Zhibing Optimal excess-of-loss reinsurance and investment polices under the CEV model. (English) Zbl 1307.91099 Ann. Oper. Res. 223, 273-290 (2014). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{Q. Li} et al., Ann. Oper. Res. 223, 273--290 (2014; Zbl 1307.91099) Full Text: DOI
Liang, Zhibin; Bayraktar, Erhan Optimal reinsurance and investment with unobservable claim size and intensity. (English) Zbl 1296.91161 Insur. Math. Econ. 55, 156-166 (2014). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{Z. Liang} and \textit{E. Bayraktar}, Insur. Math. Econ. 55, 156--166 (2014; Zbl 1296.91161) Full Text: DOI
Li, Danping; Rong, Ximin; Zhao, Hui Optimal reinsurance-investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model. (English) Zbl 1291.91120 J. Comput. Appl. Math. 255, 671-683 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 255, 671--683 (2014; Zbl 1291.91120) Full Text: DOI
Zhao, Hui; Rong, Ximin; Zhao, Yonggan Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model. (English) Zbl 1290.91106 Insur. Math. Econ. 53, No. 3, 504-514 (2013). MSC: 91B30 60J75 60H30 91B70 PDF BibTeX XML Cite \textit{H. Zhao} et al., Insur. Math. Econ. 53, No. 3, 504--514 (2013; Zbl 1290.91106) Full Text: DOI
Li, Yongwu; Li, Zhongfei Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion. (English) Zbl 1284.91249 Insur. Math. Econ. 53, No. 1, 86-97 (2013). MSC: 91B30 91G10 60J60 PDF BibTeX XML Cite \textit{Y. Li} and \textit{Z. Li}, Insur. Math. Econ. 53, No. 1, 86--97 (2013; Zbl 1284.91249) Full Text: DOI
Zhang, Chubing; Rong, Ximin; Zhao, Hui; Hou, Rujing Optimal investment for the defined-contribution pension with stochastic salary under a CEV model. (English) Zbl 1299.91133 Appl. Math., Ser. B (Engl. Ed.) 28, No. 2, 187-203 (2013). MSC: 91G10 91G80 60H30 PDF BibTeX XML Cite \textit{C. Zhang} et al., Appl. Math., Ser. B (Engl. Ed.) 28, No. 2, 187--203 (2013; Zbl 1299.91133) Full Text: DOI
Li, Qicai; Gu, Mengdi Optimization problems of excess-of-loss reinsurance and investment under the CEV model. (English) Zbl 1263.91024 ISRN Math. Anal. 2013, Article ID 383265, 10 p. (2013). MSC: 91B30 91G80 93E20 91G60 PDF BibTeX XML Cite \textit{Q. Li} and \textit{M. Gu}, ISRN Math. Anal. 2013, Article ID 383265, 10 p. (2013; Zbl 1263.91024) Full Text: DOI
Liang, Zhibin; Yuen, Kam Chuen; Cheung, Ka Chun Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model. (English) Zbl 1286.91068 Appl. Stoch. Models Bus. Ind. 28, No. 6, 585-597 (2012). MSC: 91B30 91G10 60J60 60J70 60J75 PDF BibTeX XML Cite \textit{Z. Liang} et al., Appl. Stoch. Models Bus. Ind. 28, No. 6, 585--597 (2012; Zbl 1286.91068) Full Text: DOI
Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. (English) Zbl 1285.91057 Insur. Math. Econ. 51, No. 3, 674-684 (2012). MSC: 91B30 91G10 49L20 93E20 PDF BibTeX XML Cite \textit{A. Gu} et al., Insur. Math. Econ. 51, No. 3, 674--684 (2012; Zbl 1285.91057) Full Text: DOI
Jung, Eun Ju; Kim, Jai Heui Optimal investment strategies for the HARA utility under the constant elasticity of variance model. (English) Zbl 1285.91119 Insur. Math. Econ. 51, No. 3, 667-673 (2012). MSC: 91G10 91B30 60H30 49L20 93E20 PDF BibTeX XML Cite \textit{E. J. Jung} and \textit{J. H. Kim}, Insur. Math. Econ. 51, No. 3, 667--673 (2012; Zbl 1285.91119) Full Text: DOI
Zhao, Hui; Rong, Ximin Portfolio selection problem with multiple risky assets under the constant elasticity of variance model. (English) Zbl 1235.91159 Insur. Math. Econ. 50, No. 1, 179-190 (2012). MSC: 91G10 93E20 49L20 91B16 PDF BibTeX XML Cite \textit{H. Zhao} and \textit{X. Rong}, Insur. Math. Econ. 50, No. 1, 179--190 (2012; Zbl 1235.91159) Full Text: DOI
Liang, Zhibin; Yuen, Kam Chuen; Guo, Junyi Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. (English) Zbl 1218.91084 Insur. Math. Econ. 49, No. 2, 207-215 (2011). MSC: 91B30 93E20 60J70 60K10 PDF BibTeX XML Cite \textit{Z. Liang} et al., Insur. Math. Econ. 49, No. 2, 207--215 (2011; Zbl 1218.91084) Full Text: DOI
Zeng, Yan; Li, Zhongfei Optimal time-consistent investment and reinsurance policies for mean-variance insurers. (English) Zbl 1218.91167 Insur. Math. Econ. 49, No. 1, 145-154 (2011). MSC: 91G50 91B30 93E20 PDF BibTeX XML Cite \textit{Y. Zeng} and \textit{Z. Li}, Insur. Math. Econ. 49, No. 1, 145--154 (2011; Zbl 1218.91167) Full Text: DOI