Equilibrium reinsurance-investment strategies with partial information and common shock dependence
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DOI: 10.1007/s10479-021-04317-4
Abstract: In this paper, we study an optimal reinsurance-investment problem with partial information and common shock dependence under the mean-variance criterion for an insurer. The insurer has two dependent classes of insurance business, which are subject… read more here.
Keywords: information; partial information; equilibrium; reinsurance investment ... See more keywords
Optimal Reinsurance-Investment Strategy Under Risks of Interest Rate, Exchange Rate and Inflation
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DOI: 10.1007/s11009-018-9630-7
Abstract: In this paper, we pursue the optimal reinsurance-investment strategy of an insurer who can invest in both domestic and foreign markets. We assume that both the domestic and the foreign nominal interest rates are described… read more here.
Keywords: investment strategy; rate; reinsurance investment; strategy ... See more keywords
Optimal Reinsurance and Investment Strategy for an Insurer in a Model with Delay and Jumps
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DOI: 10.1007/s11009-019-09734-4
Abstract: This paper studies an optimal excess-of-loss reinsurance and investment problem in a model with delay and jumps for an insurer, who can purchase excess-of-loss reinsurance and invest his surplus in a risk-free asset and a… read more here.
Keywords: reinsurance; insurer; reinsurance investment; model ... See more keywords
Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
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DOI: 10.1007/s12190-017-1119-y
Abstract: In this paper, we study the optimal reinsurance and investment problem in a financial market with jump-diffusion risky asset. It is assumed that the insurance risk model is modulated by a compound Poisson process, and… read more here.
Keywords: financial market; common shock; reinsurance investment; optimal reinsurance ... See more keywords
Time-consistent proportional reinsurance and investment strategies under ambiguous environment
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DOI: 10.1016/j.insmatheco.2018.09.007
Abstract: In this paper, we study the equilibrium proportional reinsurance and investment strategies for an insurer in an environment with parameter uncertainties. The insurer can buy proportional reinsurance business to hedge its insurance risks. However, the… read more here.
Keywords: time consistent; proportional reinsurance; investment strategies; reinsurance investment ... See more keywords
Optimal proportional reinsurance and investment for stochastic factor models
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DOI: 10.1016/j.insmatheco.2019.03.006
Abstract: In this work we investigate the optimal proportional reinsurance-investment strategy of an insurance company which wishes to maximize the expected exponential utility of its terminal wealth in a finite time horizon. Our goal is to… read more here.
Keywords: reinsurance; optimal proportional; proportional reinsurance; reinsurance investment ... See more keywords
Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
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DOI: 10.1080/02331934.2020.1789130
Abstract: This paper considers a non-zero-sum stochastic differential game between two competitive mean-variance insurers, who aim to seek the time-consistent reinsurance and investment strategies. These two... read more here.
Keywords: non zero; variance insurers; mean variance; game two ... See more keywords
A Reinsurance and Investment Game between Two Insurers under the CEV Model
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DOI: 10.1155/2020/4696941
Abstract: In this paper, the problem of nonzero-sum stochastic differential game between two competing insurance companies is considered, i.e., the relative performance concerns. A certain proportion of reinsurance can be taken out by each insurer to… read more here.
Keywords: game two; cev model; reinsurance investment;