Zhang, Qiang; Wu, Lijun Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks. (English) Zbl 07772187 Commun. Stat., Theory Methods 53, No. 1, 34-65 (2024). MSC: 60H30 93E20 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{L. Wu}, Commun. Stat., Theory Methods 53, No. 1, 34--65 (2024; Zbl 07772187) Full Text: DOI
Torrente, Maria-Laura Optimal proportional and excess-of-loss reinsurance for multiple classes of insurance business. (English) Zbl 07767342 Decis. Econ. Finance 46, No. 2, 611-633 (2023). MSC: 91-XX 93E20 91B30 60J75 PDF BibTeX XML Cite \textit{M.-L. Torrente}, Decis. Econ. Finance 46, No. 2, 611--633 (2023; Zbl 07767342) Full Text: DOI OA License
Yi, Haoran; Zhang, Xuekang; Shan, Yuanchuang; Shu, Huisheng Optimal portfolio and reinsurance with two differential risky assets. (English) Zbl 07736133 Commun. Stat., Theory Methods 52, No. 19, 7094-7114 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{H. Yi} et al., Commun. Stat., Theory Methods 52, No. 19, 7094--7114 (2023; Zbl 07736133) Full Text: DOI
Liang, Xiaoqing; Young, Virginia R. Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift. (English) Zbl 1521.91318 J. Appl. Probab. 60, No. 3, 874-894 (2023). Reviewer: Anatoliy Swishchuk (Calgary) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Liang} and \textit{V. R. Young}, J. Appl. Probab. 60, No. 3, 874--894 (2023; Zbl 1521.91318) Full Text: DOI
Li, Sheng Optimal time-consistent investment-reinsurance strategy for state-dependent risk aversion with delay and common shocks. (English) Zbl 07711317 Commun. Stat., Theory Methods 52, No. 15, 5294-5331 (2023). MSC: 62-XX PDF BibTeX XML Cite \textit{S. Li}, Commun. Stat., Theory Methods 52, No. 15, 5294--5331 (2023; Zbl 07711317) Full Text: DOI
Gao, Rui; Bai, Yanfei A Stackelberg reinsurance-investment game with derivatives trading. (English) Zbl 1519.91212 Bound. Value Probl. 2023, Paper No. 43, 24 p. (2023). MSC: 91G05 91G20 91A65 91A15 PDF BibTeX XML Cite \textit{R. Gao} and \textit{Y. Bai}, Bound. Value Probl. 2023, Paper No. 43, 24 p. (2023; Zbl 1519.91212) Full Text: DOI
Yuan, Haili; Hu, Yijun Optimal investment strategies for an insurer with liquid constraint. (English) Zbl 07702502 Commun. Stat., Theory Methods 52, No. 7, 2198-2214 (2023). MSC: 91G10 93E20 60J75 60G46 PDF BibTeX XML Cite \textit{H. Yuan} and \textit{Y. Hu}, Commun. Stat., Theory Methods 52, No. 7, 2198--2214 (2023; Zbl 07702502) Full Text: DOI
Rong, Ximin; Yan, Yiqi; Zhao, Hui Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model. (English) Zbl 1519.91222 Int. J. Control 96, No. 4, 839-852 (2023). MSC: 91G05 49L12 35B20 35B40 PDF BibTeX XML Cite \textit{X. Rong} et al., Int. J. Control 96, No. 4, 839--852 (2023; Zbl 1519.91222) Full Text: DOI
Ma, Jingtang; Lu, Zhengyang; Chen, Dengsheng Optimal reinsurance-investment with loss aversion under rough Heston model. (English) Zbl 1519.91216 Quant. Finance 23, No. 1, 95-109 (2023). MSC: 91G05 91B70 PDF BibTeX XML Cite \textit{J. Ma} et al., Quant. Finance 23, No. 1, 95--109 (2023; Zbl 1519.91216) Full Text: DOI
Zhang, Jiannan; Chen, Ping; Jin, Zhuo; Li, Shuanming A class of non-zero-sum stochastic differential games between two mean-variance insurers under stochastic volatility. (English) Zbl 1518.91231 Probab. Eng. Inf. Sci. 37, No. 2, 491-517 (2023). MSC: 91G05 91A15 91A80 60H30 PDF BibTeX XML Cite \textit{J. Zhang} et al., Probab. Eng. Inf. Sci. 37, No. 2, 491--517 (2023; Zbl 1518.91231) Full Text: DOI
He, Yong; He, Lin; Chen, Dengsheng; Liu, Zhezhi Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets. (English) Zbl 07677912 J. Ind. Manag. Optim. 19, No. 9, 6806-6825 (2023). MSC: 91Bxx 91A16 PDF BibTeX XML Cite \textit{Y. He} et al., J. Ind. Manag. Optim. 19, No. 9, 6806--6825 (2023; Zbl 07677912) Full Text: DOI
Xie, Pengxu; Bai, Lihua; Zhang, Huayue Optimal proportional reinsurance and pairs trading under exponential utility criterion for the insurer. (English) Zbl 1513.91065 J. Ind. Manag. Optim. 19, No. 3, 1827-1845 (2023). MSC: 91G05 93E20 60J70 PDF BibTeX XML Cite \textit{P. Xie} et al., J. Ind. Manag. Optim. 19, No. 3, 1827--1845 (2023; Zbl 1513.91065) Full Text: DOI
Qian, Xiaofei; Yang, Wujuan; Pei, Jun; Liu, Xinbao; Pardalos, Panos M. A game of information security investment considering security insurance and complementary information assets. (English) Zbl 07771178 Int. Trans. Oper. Res. 29, No. 3, 1791-1824 (2022). MSC: 90-XX PDF BibTeX XML Cite \textit{X. Qian} et al., Int. Trans. Oper. Res. 29, No. 3, 1791--1824 (2022; Zbl 07771178) Full Text: DOI
Zhang, Yan; Zhao, Peibiao; Ma, Rufei Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk. (English) Zbl 1508.91491 Methodol. Comput. Appl. Probab. 24, No. 4, 2743-2777 (2022). MSC: 91G05 49L12 93E20 PDF BibTeX XML Cite \textit{Y. Zhang} et al., Methodol. Comput. Appl. Probab. 24, No. 4, 2743--2777 (2022; Zbl 1508.91491) Full Text: DOI
Guan, Guohui; Hu, Xiang Time-consistent investment and reinsurance strategies for mean-variance insurers in \(n\)-agent and mean-field games. (English) Zbl 1507.91180 N. Am. Actuar. J. 26, No. 4, 537-569 (2022). MSC: 91G05 49N80 49L12 PDF BibTeX XML Cite \textit{G. Guan} and \textit{X. Hu}, N. Am. Actuar. J. 26, No. 4, 537--569 (2022; Zbl 1507.91180) Full Text: DOI
Yan, Tingjin; Park, Kyunghyun; Wong, Hoi Ying Irreversible reinsurance: a singular control approach. (English) Zbl 1507.91195 Insur. Math. Econ. 107, 326-348 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{T. Yan} et al., Insur. Math. Econ. 107, 326--348 (2022; Zbl 1507.91195) Full Text: DOI
Korn, Ralf; Müller, Lukas Optimal dynamic reinsurance with worst-case default of the reinsurer. (English) Zbl 1505.91332 Eur. Actuar. J. 12, No. 2, 879-885 (2022). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{R. Korn} and \textit{L. Müller}, Eur. Actuar. J. 12, No. 2, 879--885 (2022; Zbl 1505.91332) Full Text: DOI
Kong, Xiaoyu; Lü, Yuhua Optimal excess-of-loss reinsurance and investment with stochastic factor process. (English) Zbl 07633428 Commun. Stat., Theory Methods 51, No. 24, 8705-8727 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{X. Kong} and \textit{Y. Lü}, Commun. Stat., Theory Methods 51, No. 24, 8705--8727 (2022; Zbl 07633428) Full Text: DOI
Li, Sheng; Qiu, Zhijian Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston’s SV model. (English) Zbl 1507.91186 Optimization 71, No. 14, 4019-4050 (2022). MSC: 91G05 34K50 91A80 35Q91 PDF BibTeX XML Cite \textit{S. Li} and \textit{Z. Qiu}, Optimization 71, No. 14, 4019--4050 (2022; Zbl 1507.91186) Full Text: DOI
Gu, Ailing; Chen, Shumin; Li, Zhongfei; Viens, Frederi G. Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model. (English) Zbl 1501.91153 Scand. Actuar. J. 2022, No. 9, 749-774 (2022). MSC: 91G05 91B43 49L20 91A65 PDF BibTeX XML Cite \textit{A. Gu} et al., Scand. Actuar. J. 2022, No. 9, 749--774 (2022; Zbl 1501.91153) Full Text: DOI
Belkina, T. A.; Konyukhova, N. B.; Kurochkin, S. V. Optimal control of investment in a collective pension insurance model: study of singular nonlinear problems for integro-differential equations. (English. Russian original) Zbl 1500.91110 Comput. Math. Math. Phys. 62, No. 9, 1438-1454 (2022); translation from Zh. Vychisl. Mat. Mat. Fiz. 62, No. 9, 1473-1490 (2022). MSC: 91G05 93E20 49L25 45K05 PDF BibTeX XML Cite \textit{T. A. Belkina} et al., Comput. Math. Math. Phys. 62, No. 9, 1438--1454 (2022; Zbl 1500.91110); translation from Zh. Vychisl. Mat. Mat. Fiz. 62, No. 9, 1473--1490 (2022) Full Text: DOI
Li, Ya Nan A research on the optimal strategies of enterprises and agents under principal-agent system. (Chinese. English summary) Zbl 1513.91098 Acta Math. Sin., Chin. Ser. 65, No. 3, 547-558 (2022). MSC: 91G50 91B43 PDF BibTeX XML Cite \textit{Y. N. Li}, Acta Math. Sin., Chin. Ser. 65, No. 3, 547--558 (2022; Zbl 1513.91098) Full Text: Link
Zhang, Liming; Wang, Rongming; Wei, Jiaqin Open-loop equilibrium mean-variance reinsurance, new business and investment strategies with constraints. (English) Zbl 1513.90111 J. Ind. Manag. Optim. 18, No. 6, 3897-3927 (2022). MSC: 90B50 93E20 91G80 PDF BibTeX XML Cite \textit{L. Zhang} et al., J. Ind. Manag. Optim. 18, No. 6, 3897--3927 (2022; Zbl 1513.90111) Full Text: DOI
Guan, Guohui; Hu, Jiaqi; Liang, Zongxia Robust equilibrium strategies in a defined benefit pension plan game. (English) Zbl 1498.91358 Insur. Math. Econ. 106, 193-217 (2022). MSC: 91G05 91A15 91A80 PDF BibTeX XML Cite \textit{G. Guan} et al., Insur. Math. Econ. 106, 193--217 (2022; Zbl 1498.91358) Full Text: DOI arXiv
Zhang, Yongtao; Zhao, Hui; Rong, Ximin; Han, Kai Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk. (English) Zbl 07585007 Commun. Stat., Theory Methods 51, No. 19, 6535-6558 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Zhang} et al., Commun. Stat., Theory Methods 51, No. 19, 6535--6558 (2022; Zbl 07585007) Full Text: DOI
Zhu, Shihao; Shi, Jingtao Optimal reinsurance and investment strategies under mean-variance criteria: partial and full information. (English) Zbl 1497.91268 J. Syst. Sci. Complex. 35, No. 4, 1458-1479 (2022). MSC: 91G05 60G35 PDF BibTeX XML Cite \textit{S. Zhu} and \textit{J. Shi}, J. Syst. Sci. Complex. 35, No. 4, 1458--1479 (2022; Zbl 1497.91268) Full Text: DOI arXiv
Prashanth, L. A.; Fu, Michael C. Risk-sensitive reinforcement learning via policy gradient search. (English) Zbl 07582341 Found. Trends Mach. Learn. 15, No. 5, 537-693 (2022). MSC: 68T05 90C90 68-02 PDF BibTeX XML Cite \textit{L. A. Prashanth} and \textit{M. C. Fu}, Found. Trends Mach. Learn. 15, No. 5, 537--693 (2022; Zbl 07582341) Full Text: DOI arXiv
Wang, Yijun; Deng, Yingchun; Huang, Ya; Zhou, Jieming; Xiang, Xuyan Optimal reinsurance-investment policies for insurers with mispricing under mean-variance criterion. (English) Zbl 07565512 Commun. Stat., Theory Methods 51, No. 16, 5653-5680 (2022). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Wang} et al., Commun. Stat., Theory Methods 51, No. 16, 5653--5680 (2022; Zbl 07565512) Full Text: DOI
Sheng, De-Lei; Shi, Linfeng; Li, Danping; Zhao, Yanping Manage pension deficit with heterogeneous insurance. (English) Zbl 1489.91226 Methodol. Comput. Appl. Probab. 24, No. 2, 1119-1141 (2022). MSC: 91G05 PDF BibTeX XML Cite \textit{D.-L. Sheng} et al., Methodol. Comput. Appl. Probab. 24, No. 2, 1119--1141 (2022; Zbl 1489.91226) Full Text: DOI
Jin, Zhuo; Zuo, Quan Xu; Zou, Bin A perturbation approach to optimal investment, liability ratio, and dividend strategies. (English) Zbl 1492.91301 Scand. Actuar. J. 2022, No. 2, 165-188 (2022). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Z. Jin} et al., Scand. Actuar. J. 2022, No. 2, 165--188 (2022; Zbl 1492.91301) Full Text: DOI arXiv
Yuan, Yu; Liang, Zhibin; Han, Xia Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game. (English) Zbl 1494.91128 Scand. Actuar. J. 2022, No. 4, 328-355 (2022). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 91A23 91A65 91A80 PDF BibTeX XML Cite \textit{Y. Yuan} et al., Scand. Actuar. J. 2022, No. 4, 328--355 (2022; Zbl 1494.91128) Full Text: DOI
Li, Yin; Mao, Xuerong; Song, Yazhi; Tao, Jian Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition. (English) Zbl 1499.90094 J. Ind. Manag. Optim. 18, No. 1, 75-93 (2022). MSC: 90B50 93E20 91G80 62P05 PDF BibTeX XML Cite \textit{Y. Li} et al., J. Ind. Manag. Optim. 18, No. 1, 75--93 (2022; Zbl 1499.90094) Full Text: DOI
Liu, Shan; Zhao, Hui; Rong, Ximin Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment. (English) Zbl 1499.91095 J. Ind. Manag. Optim. 18, No. 2, 1185-1222 (2022). MSC: 91G05 91G10 93E20 91G80 PDF BibTeX XML Cite \textit{S. Liu} et al., J. Ind. Manag. Optim. 18, No. 2, 1185--1222 (2022; Zbl 1499.91095) Full Text: DOI
Yuan, Yu; Liang, Zhibin; Han, Xia Optimal investment and reinsurance to minimize the probability of drawdown with borrowing costs. (English) Zbl 1499.91103 J. Ind. Manag. Optim. 18, No. 2, 933-967 (2022). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{Y. Yuan} et al., J. Ind. Manag. Optim. 18, No. 2, 933--967 (2022; Zbl 1499.91103) Full Text: DOI
Hu, Hanlei; Lai, Shaoyong; Chen, Hongjing Optimal asset allocation for CRRA and CARA insurers under the vasicek interest rate model. (English) Zbl 1490.91175 Discrete Dyn. Nat. Soc. 2022, Article ID 3974488, 14 p. (2022). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{H. Hu} et al., Discrete Dyn. Nat. Soc. 2022, Article ID 3974488, 14 p. (2022; Zbl 1490.91175) Full Text: DOI
Bai, Yanfei; Zhou, Zhongbao; Xiao, Helu; Gao, Rui; Zhong, Feimin A hybrid stochastic differential reinsurance and investment game with bounded memory. (English) Zbl 1490.91167 Eur. J. Oper. Res. 296, No. 2, 717-737 (2022). MSC: 91G05 91A15 91G10 93E20 PDF BibTeX XML Cite \textit{Y. Bai} et al., Eur. J. Oper. Res. 296, No. 2, 717--737 (2022; Zbl 1490.91167) Full Text: DOI arXiv
Baltas, I.; Szczepański, M.; Dopierala, L.; Kolodziejczyk, K.; Weber, Gerhard-Wilhelm; Yannacopoulos, A. N. Optimal pension fund management under risk and uncertainty: the case study of Poland. (English) Zbl 1500.91109 Pinto, Alberto (ed.) et al., Modeling, dynamics, optimization and bioeconomics IV. Selected papers based on the presentations at the 6th international conference on dynamics games and science 2018 (DGS-VI-2018) and the 19th Jornadas Latinoamericanas de teora económica (Jolate-XIX). Madrid, Spain, May 2018, and ICABR, Berkeley, USA, May–June 2017. Selected contributions. Cham: Springer. Springer Proc. Math. Stat. 365, 31-64 (2021). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{I. Baltas} et al., Springer Proc. Math. Stat. 365, 31--64 (2021; Zbl 1500.91109) Full Text: DOI
Guo, Mengmeng; Kan, Xiu; Shu, Huisheng Optimal investment and reinsurance problem with jump-diffusion model. (English) Zbl 07532937 Commun. Stat., Theory Methods 50, No. 5, 1082-1098 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{M. Guo} et al., Commun. Stat., Theory Methods 50, No. 5, 1082--1098 (2021; Zbl 07532937) Full Text: DOI
Wang, Peiqi; Rong, Ximin; Zhao, Hui; Wang, Yajie Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon. (English) Zbl 07532933 Commun. Stat., Theory Methods 50, No. 4, 993-1017 (2021). MSC: 91G10 62-XX PDF BibTeX XML Cite \textit{P. Wang} et al., Commun. Stat., Theory Methods 50, No. 4, 993--1017 (2021; Zbl 07532933) Full Text: DOI
Deng, Yingchun; Li, Man; Huang, Ya; Zhou, Jieming Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond. (English) Zbl 07532192 Commun. Stat., Theory Methods 50, No. 21, 5126-5159 (2021). MSC: 62-XX PDF BibTeX XML Cite \textit{Y. Deng} et al., Commun. Stat., Theory Methods 50, No. 21, 5126--5159 (2021; Zbl 07532192) Full Text: DOI
Bai, Yanfei; Zhou, Zhongbao; Xiao, Helu; Gao, Rui; Zhong, Feimin A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market. (English) Zbl 1485.91206 Math. Methods Oper. Res. 94, No. 3, 341-381 (2021). MSC: 91G05 91A23 91A65 91A80 PDF BibTeX XML Cite \textit{Y. Bai} et al., Math. Methods Oper. Res. 94, No. 3, 341--381 (2021; Zbl 1485.91206) Full Text: DOI
Bi, Junna; Cai, Jun; Zeng, Yan Equilibrium reinsurance-investment strategies with partial information and common shock dependence. (English) Zbl 1478.91160 Ann. Oper. Res. 307, No. 1-2, 1-24 (2021). MSC: 91G05 62P05 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Ann. Oper. Res. 307, No. 1--2, 1--24 (2021; Zbl 1478.91160) Full Text: DOI
Zhu, Huainian; Cao, Ming; Zhu, Ying Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model. (English) Zbl 1482.91191 Optimization 70, No. 12, 2579-2606 (2021). MSC: 91G05 91A15 91A05 91A80 PDF BibTeX XML Cite \textit{H. Zhu} et al., Optimization 70, No. 12, 2579--2606 (2021; Zbl 1482.91191) Full Text: DOI
Bai, Yanfei; Zhou, Zhongbao; Xiao, Helu; Gao, Rui A Stackelberg reinsurance-investment game with asymmetric information and delay. (English) Zbl 1475.91282 Optimization 70, No. 10, 2131-2168 (2021). MSC: 91G05 91A65 91A15 91A80 91G80 PDF BibTeX XML Cite \textit{Y. Bai} et al., Optimization 70, No. 10, 2131--2168 (2021; Zbl 1475.91282) Full Text: DOI
Christensen, Bent Jesper; Parra-Alvarez, Juan Carlos; Serrano, Rafael Optimal control of investment, premium and deductible for a non-life insurance company. (English) Zbl 1475.91293 Insur. Math. Econ. 101, 384-405 (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{B. J. Christensen} et al., Insur. Math. Econ. 101, 384--405 (2021; Zbl 1475.91293) Full Text: DOI
Swishchuk, Anatoliy; Zagst, Rudi; Zeller, Gabriela Hawkes processes in insurance: risk model, application to empirical data and optimal investment. (English) Zbl 1475.91317 Insur. Math. Econ. 101, 107-124 (2021). MSC: 91G05 60G55 PDF BibTeX XML Cite \textit{A. Swishchuk} et al., Insur. Math. Econ. 101, 107--124 (2021; Zbl 1475.91317) Full Text: DOI
Li, Bohan; Guo, Junyi Optimal investment and reinsurance under the gamma process. (English) Zbl 1480.91220 Methodol. Comput. Appl. Probab. 23, No. 3, 893-923 (2021). Reviewer: Hanspeter Schmidli (Köln) MSC: 91G05 91G80 49L20 91B16 PDF BibTeX XML Cite \textit{B. Li} and \textit{J. Guo}, Methodol. Comput. Appl. Probab. 23, No. 3, 893--923 (2021; Zbl 1480.91220) Full Text: DOI
A, Chun-Xiang; Gu, Ai-Lin; Shao, Yi Optimal reinsurance and investment strategy with delay in Heston’s SV model. (English) Zbl 1488.91088 J. Oper. Res. Soc. China 9, No. 2, 245-271 (2021). MSC: 91G05 93E20 34K50 PDF BibTeX XML Cite \textit{C.-X. A} et al., J. Oper. Res. Soc. China 9, No. 2, 245--271 (2021; Zbl 1488.91088) Full Text: DOI
Ankirchner, Stefan; Blanchet-Scalliet, Christophette; Kazi-Tani, Nabil; Zhou, Chao Gambling for resurrection and the heat equation on a triangle. (English) Zbl 1489.60069 Appl. Math. Optim. 84, No. 3, 3111-3136 (2021). MSC: 60G44 49L20 35C10 PDF BibTeX XML Cite \textit{S. Ankirchner} et al., Appl. Math. Optim. 84, No. 3, 3111--3136 (2021; Zbl 1489.60069) Full Text: DOI HAL
Tian, Yingxu; Guo, Junyi; Sun, Zhongyang Optimal mean-variance reinsurance in a financial market with stochastic rate of return. (English) Zbl 1476.91132 J. Ind. Manag. Optim. 17, No. 4, 1887-1912 (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Y. Tian} et al., J. Ind. Manag. Optim. 17, No. 4, 1887--1912 (2021; Zbl 1476.91132) Full Text: DOI
Liu, Shuang-sui; Guo, Wen-jing; Tong, Xin-le Martingale method for optimal investment and proportional reinsurance. (English) Zbl 1474.91155 Appl. Math., Ser. B (Engl. Ed.) 36, No. 1, 16-30 (2021). MSC: 91G05 60G44 60G51 PDF BibTeX XML Cite \textit{S.-s. Liu} et al., Appl. Math., Ser. B (Engl. Ed.) 36, No. 1, 16--30 (2021; Zbl 1474.91155) Full Text: DOI
Zhang, Xin; Xiong, Jie; Zhang, Shuaiqi Optimal reinsurance-investment and dividends problem with fixed transaction costs. (English) Zbl 1474.91168 J. Ind. Manag. Optim. 17, No. 2, 981-999 (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{X. Zhang} et al., J. Ind. Manag. Optim. 17, No. 2, 981--999 (2021; Zbl 1474.91168) Full Text: DOI
Zhou, Zhongbao; Bai, Yanfei; Xiao, Helu; Chen, Xu A non-zero-sum reinsurance-investment game with delay and asymmetric information. (English) Zbl 1474.90236 J. Ind. Manag. Optim. 17, No. 2, 909-936 (2021). MSC: 90B50 91B05 91G80 91A23 93E20 91A10 90C30 PDF BibTeX XML Cite \textit{Z. Zhou} et al., J. Ind. Manag. Optim. 17, No. 2, 909--936 (2021; Zbl 1474.90236) Full Text: DOI
Yuan, Haili; Hu, Yijun Optimal investment for an insurer under liquid reserves. (English) Zbl 1474.91164 J. Ind. Manag. Optim. 17, No. 1, 339-355 (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{H. Yuan} and \textit{Y. Hu}, J. Ind. Manag. Optim. 17, No. 1, 339--355 (2021; Zbl 1474.91164) Full Text: DOI
Li, Sheng; Qiu, Zhijian Optimal time-consistent investment and reinsurance strategies with default risk and delay under Heston’s SV model. (English) Zbl 1512.91109 Math. Probl. Eng. 2021, Article ID 8834842, 36 p. (2021). MSC: 91G05 49L20 93E20 PDF BibTeX XML Cite \textit{S. Li} and \textit{Z. Qiu}, Math. Probl. Eng. 2021, Article ID 8834842, 36 p. (2021; Zbl 1512.91109) Full Text: DOI
Shen, Yang; Zou, Bin Mean-variance investment and risk control strategies – a time-consistent approach via a forward auxiliary process. (English) Zbl 1460.91239 Insur. Math. Econ. 97, 68-80 (2021). MSC: 91G05 91A80 93E20 PDF BibTeX XML Cite \textit{Y. Shen} and \textit{B. Zou}, Insur. Math. Econ. 97, 68--80 (2021; Zbl 1460.91239) Full Text: DOI arXiv
Jin, Zhuo; Yang, Hailiang; Yin, G. A hybrid deep learning method for optimal insurance strategies: algorithms and convergence analysis. (English) Zbl 1460.91226 Insur. Math. Econ. 96, 262-275 (2021). MSC: 91G05 60J22 68T07 PDF BibTeX XML Cite \textit{Z. Jin} et al., Insur. Math. Econ. 96, 262--275 (2021; Zbl 1460.91226) Full Text: DOI
Wang, Ning; Zhang, Nan; Jin, Zhuo; Qian, Linyi Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints. (English) Zbl 1460.91241 Insur. Math. Econ. 96, 168-184 (2021). MSC: 91G05 91A15 91A80 PDF BibTeX XML Cite \textit{N. Wang} et al., Insur. Math. Econ. 96, 168--184 (2021; Zbl 1460.91241) Full Text: DOI
Luo, Shangzhen; Wang, Mingming; Zhu, Wei Stochastic differential reinsurance games in diffusion approximation models. (English) Zbl 1457.91333 J. Comput. Appl. Math. 386, Article ID 113252, 36 p. (2021). MSC: 91G05 91G80 91A15 91A80 91A10 91A12 PDF BibTeX XML Cite \textit{S. Luo} et al., J. Comput. Appl. Math. 386, Article ID 113252, 36 p. (2021; Zbl 1457.91333) Full Text: DOI
Zhang, Yan; Zhao, Peibiao; Kou, Bingyu Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model. (English) Zbl 1447.91154 J. Comput. Appl. Math. 382, Article ID 113082, 17 p. (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Comput. Appl. Math. 382, Article ID 113082, 17 p. (2021; Zbl 1447.91154) Full Text: DOI
Zhang, Liming; Wang, Rongming; Wei, Jiaqin Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model. (English) Zbl 07660243 Stat. Theory Relat. Fields 4, No. 2, 214-227 (2020). MSC: 62-XX PDF BibTeX XML Cite \textit{L. Zhang} et al., Stat. Theory Relat. Fields 4, No. 2, 214--227 (2020; Zbl 07660243) Full Text: DOI
Longo, Michele; Stabile, Gabriele Sub-optimal investment for insurers. (English) Zbl 1511.91117 Commun. Stat., Theory Methods 49, No. 17, 4298-4312 (2020). MSC: 91G05 60H30 62P05 PDF BibTeX XML Cite \textit{M. Longo} and \textit{G. Stabile}, Commun. Stat., Theory Methods 49, No. 17, 4298--4312 (2020; Zbl 1511.91117) Full Text: DOI
Liu, Bing; Zhou, Ming; Li, Peng Optimal investment and premium control for insurers with ambiguity. (English) Zbl 1511.91116 Commun. Stat., Theory Methods 49, No. 9, 2110-2130 (2020). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{B. Liu} et al., Commun. Stat., Theory Methods 49, No. 9, 2110--2130 (2020; Zbl 1511.91116) Full Text: DOI
Jiang, Xin; Yuen, Kam Chuen; Chen, Mi Optimal investment and reinsurance with premium control. (English) Zbl 1476.91128 J. Ind. Manag. Optim. 16, No. 6, 2781-2797 (2020). MSC: 91G05 49L20 91G10 93E20 PDF BibTeX XML Cite \textit{X. Jiang} et al., J. Ind. Manag. Optim. 16, No. 6, 2781--2797 (2020; Zbl 1476.91128) Full Text: DOI
Deng, Chao; Yao, Haixiang; Chen, Yan Optimal investment and risk control problems with delay for an insurer in defaultable market. (English) Zbl 1476.91123 J. Ind. Manag. Optim. 16, No. 5, 2563-2579 (2020). MSC: 91G05 91B55 60K05 PDF BibTeX XML Cite \textit{C. Deng} et al., J. Ind. Manag. Optim. 16, No. 5, 2563--2579 (2020; Zbl 1476.91123) Full Text: DOI
Yan, Ming; Yang, Hongtao; Zhang, Lei; Zhang, Shuhua Optimal investment-reinsurance policy with regime switching and value-at-risk constraint. (English) Zbl 1476.91135 J. Ind. Manag. Optim. 16, No. 5, 2195-2211 (2020). MSC: 91G05 93E20 91G60 PDF BibTeX XML Cite \textit{M. Yan} et al., J. Ind. Manag. Optim. 16, No. 5, 2195--2211 (2020; Zbl 1476.91135) Full Text: DOI
Das, Sanjiv R.; Ostrov, Daniel; Radhakrishnan, Anand; Srivastav, Deep Dynamic portfolio allocation in goals-based wealth management. (English) Zbl 07360551 Comput. Manag. Sci. 17, No. 4, 613-640 (2020). MSC: 90Bxx PDF BibTeX XML Cite \textit{S. R. Das} et al., Comput. Manag. Sci. 17, No. 4, 613--640 (2020; Zbl 07360551) Full Text: DOI
Medhin, Negash; Xu, Chuan Nonzero-sum stochastic differential reinsurance games with jump-diffusion processes. (English) Zbl 1462.49049 J. Optim. Theory Appl. 187, No. 2, 566-584 (2020). MSC: 49L20 91A15 35F21 60J76 PDF BibTeX XML Cite \textit{N. Medhin} and \textit{C. Xu}, J. Optim. Theory Appl. 187, No. 2, 566--584 (2020; Zbl 1462.49049) Full Text: DOI
Deng, Chao; Bian, Wenlong; Wu, Baiyi Optimal reinsurance and investment problem with default risk and bounded memory. (English) Zbl 1457.91328 Int. J. Control 93, No. 12, 2982-2994 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{C. Deng} et al., Int. J. Control 93, No. 12, 2982--2994 (2020; Zbl 1457.91328) Full Text: DOI
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
Li, Sheng; He, Yong Optimal time-consistent investment and reinsurance strategy under time delay and risk dependent model. (English) Zbl 1459.91162 Math. Probl. Eng. 2020, Article ID 9368346, 20 p. (2020). MSC: 91G05 49L12 93E20 PDF BibTeX XML Cite \textit{S. Li} and \textit{Y. He}, Math. Probl. Eng. 2020, Article ID 9368346, 20 p. (2020; Zbl 1459.91162) Full Text: DOI
Xu, Lin; Xu, Shaosheng; Yao, Dingjun Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance. (English) Zbl 1448.91269 Comput. Math. Appl. 79, No. 3, 716-734 (2020). MSC: 91G05 91B64 60J28 49L25 PDF BibTeX XML Cite \textit{L. Xu} et al., Comput. Math. Appl. 79, No. 3, 716--734 (2020; Zbl 1448.91269) Full Text: DOI
Zhang, Shuaiqi; Xiong, Jie; Zhang, Xin Optimal investment problem with delay under partial information. (English) Zbl 1447.91166 Math. Control Relat. Fields 10, No. 2, 365-378 (2020). MSC: 91G10 91G15 PDF BibTeX XML Cite \textit{S. Zhang} et al., Math. Control Relat. Fields 10, No. 2, 365--378 (2020; Zbl 1447.91166) Full Text: DOI
Yener, Haluk Proportional reinsurance and investment in multiple risky assets under borrowing constraint. (English) Zbl 1447.91153 Scand. Actuar. J. 2020, No. 5, 396-418 (2020). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{H. Yener}, Scand. Actuar. J. 2020, No. 5, 396--418 (2020; Zbl 1447.91153) Full Text: DOI
Gu, Ailing; Viens, Frederi G.; Shen, Yang Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. (English) Zbl 1447.91139 Scand. Actuar. J. 2020, No. 4, 342-375 (2020). MSC: 91G05 91B43 90C39 PDF BibTeX XML Cite \textit{A. Gu} et al., Scand. Actuar. J. 2020, No. 4, 342--375 (2020; Zbl 1447.91139) Full Text: DOI
Sun, Zhongyang; Zhang, Xin; Yuen, Kam Chuen Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option. (English) Zbl 1436.91104 Scand. Actuar. J. 2020, No. 3, 218-244 (2020). MSC: 91G05 60H10 PDF BibTeX XML Cite \textit{Z. Sun} et al., Scand. Actuar. J. 2020, No. 3, 218--244 (2020; Zbl 1436.91104) Full Text: DOI
Zhu, Jiaqi; Guan, Guohui; Li, Shenghong Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks. (English) Zbl 1435.91168 J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020). MSC: 91G05 91A15 91A80 PDF BibTeX XML Cite \textit{J. Zhu} et al., J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020; Zbl 1435.91168) Full Text: DOI
Tan, Ken Seng; Wei, Pengyu; Wei, Wei; Zhuang, Sheng Chao Optimal dynamic reinsurance policies under a generalized Denneberg’s absolute deviation principle. (English) Zbl 1431.91344 Eur. J. Oper. Res. 282, No. 1, 345-362 (2020). MSC: 91G05 91G10 PDF BibTeX XML Cite \textit{K. S. Tan} et al., Eur. J. Oper. Res. 282, No. 1, 345--362 (2020; Zbl 1431.91344) Full Text: DOI
Sun, Zhongyang; Yuen, Kam Chuen; Guo, Junyi A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling. (English) Zbl 1427.91243 J. Comput. Appl. Math. 366, Article ID 112413, 21 p. (2020). Reviewer: Giovanni Puccetti (Milano) MSC: 91G05 60H10 PDF BibTeX XML Cite \textit{Z. Sun} et al., J. Comput. Appl. Math. 366, Article ID 112413, 21 p. (2020; Zbl 1427.91243) Full Text: DOI
Sun, Zhongyang Upper bounds for ruin probabilities under model uncertainty. (English) Zbl 1508.91131 Commun. Stat., Theory Methods 48, No. 18, 4511-4527 (2019). MSC: 91B05 60H10 60H30 62P05 PDF BibTeX XML Cite \textit{Z. Sun}, Commun. Stat., Theory Methods 48, No. 18, 4511--4527 (2019; Zbl 1508.91131) Full Text: DOI
Wang, Suxin; Rong, Ximin; Zhao, Hui Mean-variance problem for an insurer with default risk under a jump-diffusion risk model. (English) Zbl 1508.91488 Commun. Stat., Theory Methods 48, No. 17, 4221-4249 (2019). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{S. Wang} et al., Commun. Stat., Theory Methods 48, No. 17, 4221--4249 (2019; Zbl 1508.91488) Full Text: DOI
Ozalp, Mustafa Asim; Yildirak, Kasirga; Okur, Yeliz Yolcu Optimal investment strategy and liability ratio for insurer with Lévy risk process. (English) Zbl 1488.91098 Hacet. J. Math. Stat. 48, No. 4, 1232-1249 (2019). MSC: 91G05 60G51 93E20 PDF BibTeX XML Cite \textit{M. A. Ozalp} et al., Hacet. J. Math. Stat. 48, No. 4, 1232--1249 (2019; Zbl 1488.91098) Full Text: Link
Zhang, Yan; Zhao, Peibiao Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks. (English) Zbl 1453.91087 Discrete Dyn. Nat. Soc. 2019, Article ID 6805351, 21 p. (2019). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Y. Zhang} and \textit{P. Zhao}, Discrete Dyn. Nat. Soc. 2019, Article ID 6805351, 21 p. (2019; Zbl 1453.91087) Full Text: DOI
Ma, Jianjing; Wang, Guojing; Xing, Yongsheng Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process. (English) Zbl 1443.91253 Bull. Korean Math. Soc. 56, No. 6, 1467-1483 (2019). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 93E20 60J60 PDF BibTeX XML Cite \textit{J. Ma} et al., Bull. Korean Math. Soc. 56, No. 6, 1467--1483 (2019; Zbl 1443.91253) Full Text: DOI
Meng, Hui; Liao, Pu; Siu, Tak Kuen Continuous-time optimal reinsurance strategy with nontrivial curved structures. (English) Zbl 1433.91141 Appl. Math. Comput. 363, Article ID 124585, 21 p. (2019). MSC: 91G05 49L20 93E20 91G10 62P05 PDF BibTeX XML Cite \textit{H. Meng} et al., Appl. Math. Comput. 363, Article ID 124585, 21 p. (2019; Zbl 1433.91141) Full Text: DOI
Guan, Guohui; Liang, Zongxia Robust optimal reinsurance and investment strategies for an AAI with multiple risks. (English) Zbl 1427.91232 Insur. Math. Econ. 89, 63-78 (2019). MSC: 91G05 93E20 91G10 91G80 PDF BibTeX XML Cite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 89, 63--78 (2019; Zbl 1427.91232) Full Text: DOI
Hu, Duni; Wang, Hailong Optimal proportional reinsurance with a loss-dependent premium principle. (English) Zbl 1426.91223 Scand. Actuar. J. 2019, No. 9, 752-767 (2019). MSC: 91G05 91B16 PDF BibTeX XML Cite \textit{D. Hu} and \textit{H. Wang}, Scand. Actuar. J. 2019, No. 9, 752--767 (2019; Zbl 1426.91223) Full Text: DOI
Zhou, Jieming; Zhang, Xiaoye; Huang, Ya; Xiang, Xuyan; Deng, Yingchun Optimal investment and risk control policies for an insurer in an incomplete market. (English) Zbl 1426.91238 Optimization 68, No. 9, 1625-1652 (2019). MSC: 91G05 60K30 60G44 91B16 PDF BibTeX XML Cite \textit{J. Zhou} et al., Optimization 68, No. 9, 1625--1652 (2019; Zbl 1426.91238) Full Text: DOI
Zhang, Xin; Meng, Hui; Xiong, Jie; Shen, Yang Robust optimal investment and reinsurance of an insurer under jump-diffusion models. (English) Zbl 1426.91237 Math. Control Relat. Fields 9, No. 1, 59-76 (2019). MSC: 91G05 91G80 93E20 93B35 91A15 91A23 60J75 60G50 PDF BibTeX XML Cite \textit{X. Zhang} et al., Math. Control Relat. Fields 9, No. 1, 59--76 (2019; Zbl 1426.91237) Full Text: DOI
Bui, Trang; Cheng, Xiang; Jin, Zhuo; Yin, George Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jump-diffusion models. (English) Zbl 1426.91205 Nonlinear Anal., Hybrid Syst. 32, 276-293 (2019). MSC: 91G05 91A15 91A23 60J75 PDF BibTeX XML Cite \textit{T. Bui} et al., Nonlinear Anal., Hybrid Syst. 32, 276--293 (2019; Zbl 1426.91205) Full Text: DOI arXiv
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. (English) Zbl 1429.62459 Math. Methods Oper. Res. 90, No. 1, 109-135 (2019). MSC: 62P05 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Math. Methods Oper. Res. 90, No. 1, 109--135 (2019; Zbl 1429.62459) Full Text: DOI
Chen, Lv; Shen, Yang Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework. (English) Zbl 1425.91217 Insur. Math. Econ. 88, 120-137 (2019). MSC: 91B30 91A15 91A65 93E20 91A23 91A05 PDF BibTeX XML Cite \textit{L. Chen} and \textit{Y. Shen}, Insur. Math. Econ. 88, 120--137 (2019; Zbl 1425.91217) Full Text: DOI
Mudzimbabwe, Walter A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model. (English) Zbl 1419.49033 J. Comput. Appl. Math. 360, 55-61 (2019). MSC: 49L20 49K15 45J05 91B30 PDF BibTeX XML Cite \textit{W. Mudzimbabwe}, J. Comput. Appl. Math. 360, 55--61 (2019; Zbl 1419.49033) Full Text: DOI
Zhang, Qiang; Chen, Ping Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps. (English) Zbl 1410.91295 J. Comput. Appl. Math. 356, 46-66 (2019). MSC: 91B30 93E20 60J75 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, J. Comput. Appl. Math. 356, 46--66 (2019; Zbl 1410.91295) Full Text: DOI
Yuan, Weipeng; Lai, Shaoyong Family optimal investment strategy for a random household expenditure under the CEV model. (English) Zbl 1410.91433 J. Comput. Appl. Math. 354, 1-14 (2019). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{W. Yuan} and \textit{S. Lai}, J. Comput. Appl. Math. 354, 1--14 (2019; Zbl 1410.91433) Full Text: DOI
Wang, Suxin; Rong, Ximin; Zhao, Hui Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market. (English) Zbl 1411.91319 J. Math. Anal. Appl. 474, No. 2, 1267-1288 (2019). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{S. Wang} et al., J. Math. Anal. Appl. 474, No. 2, 1267--1288 (2019; Zbl 1411.91319) Full Text: DOI
Wang, Hao; Wang, Rongming; Wei, Jiaqin Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers. (English) Zbl 1419.91385 Insur. Math. Econ. 85, 104-114 (2019). MSC: 91B30 91G30 PDF BibTeX XML Cite \textit{H. Wang} et al., Insur. Math. Econ. 85, 104--114 (2019; Zbl 1419.91385) Full Text: DOI
Bi, Junna; Cai, Jun Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. (English) Zbl 1419.91349 Insur. Math. Econ. 85, 1-14 (2019). MSC: 91B30 62P05 93E20 91G70 PDF BibTeX XML Cite \textit{J. Bi} and \textit{J. Cai}, Insur. Math. Econ. 85, 1--14 (2019; Zbl 1419.91349) 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
Luo, Shangzhen; Wang, Mingming; Zhu, Wei Maximizing a robust goal-reaching probability with penalization on ambiguity. (English) Zbl 1418.91248 J. Comput. Appl. Math. 348, 261-281 (2019). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{S. Luo} et al., J. Comput. Appl. Math. 348, 261--281 (2019; Zbl 1418.91248) Full Text: DOI