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A hybrid stochastic differential reinsurance and investment game with bounded memory. (2019). Zhong, Feimin ; Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei.
In: Papers.
RePEc:arx:papers:1910.09834.

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Cited: 2

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Cocites: 63

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Citations

Citations received by this document

  1. Robust Stochastic Stackelberg Differential Reinsurance and Investment Games for an Insurer and a Reinsurer with Delay. (2022). Yang, LU ; Zhu, Huainian ; Zhang, Chengke.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-021-09855-9.

    Full description at Econpapers || Download paper

  2. Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer. (2022). Havrylenko, Yevhen ; Zagst, Rudi ; Hinken, Maria.
    In: Papers.
    RePEc:arx:papers:2203.04053.

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References

References cited by this document

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Cocites

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  2. Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework. (2023). Yuen, Kam Chuen ; Liang, Zhibin ; Han, Xia ; Yuan, YU.
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  3. Robust optimal reinsurance–investment for ?-maxmin mean–variance utility under Heston’s SV model. (2023). Li, Ziqiang ; He, Yong ; Chen, Dengsheng.
    In: The North American Journal of Economics and Finance.
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  4. Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with more General Dependent Claim Risks and Defaultable Risk. (2022). Ma, Rufei ; Zhao, Peibiao ; Zhang, Yan.
    In: Methodology and Computing in Applied Probability.
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  5. Robust Stochastic Stackelberg Differential Reinsurance and Investment Games for an Insurer and a Reinsurer with Delay. (2022). Yang, LU ; Zhu, Huainian ; Zhang, Chengke.
    In: Methodology and Computing in Applied Probability.
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  6. A hybrid stochastic differential reinsurance and investment game with bounded memory. (2022). Zhong, Feimin ; Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei.
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  7. Risk sharing in equity-linked insurance products: Stackelberg equilibrium between an insurer and a reinsurer. (2022). Havrylenko, Yevhen ; Zagst, Rudi ; Hinken, Maria.
    In: Papers.
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  8. Optimal Investment and Reinsurance Under the Gamma Process. (2021). Li, Bohan ; Guo, Junyi.
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  9. A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market. (2021). Gao, Rui ; Xiao, Helu ; Zhou, Zhongbao ; Bai, Yanfei ; Zhong, Feimin.
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  18. Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion. (2019). Zeng, Yan ; Shen, Yang ; Zhao, Hui ; Zhang, Wenjun.
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  21. Robust non-zero-sum investment and reinsurance game with default risk. (2019). Wang, Ning ; Qian, Linyi ; Jin, Zhuo ; Zhang, Nan.
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  22. Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model. (2019). Zhang, Chengke ; Cao, Ming ; Zhu, Huainian.
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  38. A pair of optimal reinsurance–investment strategies in the two-sided exit framework. (2016). Li, Danping ; Landriault, David.
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  42. Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model. (2016). Zheng, Xiaoxiao ; Sun, Zhongyang ; Zhou, Jieming .
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  43. Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling. (2016). Zhang, Xin ; Zeng, Yan ; Meng, Hui.
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  44. Optimal reinsurance with both proportional and fixed costs. (2015). Zhou, Ming ; Yin, Chuancun ; Li, Peng.
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  45. Optimal debt ratio and dividend payment strategies with reinsurance. (2015). Jin, Zhuo ; Yin, G ; Yang, Hailiang.
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  46. Robust investment–reinsurance optimization with multiscale stochastic volatility. (2015). Pun, Chi Seng ; Wong, Hoi Ying.
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  47. Optimal reinsurance and investment problem for an insurer with counterparty risk. (2015). Deng, Chao ; Yue, Shengjie ; Zhu, Huiming.
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  48. Optimal excess-of-loss reinsurance and investment polices under the CEV model. (2014). Gu, Mengdi ; Li, Qicai ; Liang, Zhibing.
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  49. Optimal investment, consumption and proportional reinsurance for an insurer with option type payoff. (2014). Wei, Linxiao ; Hu, Yijun ; Peng, Xingchun.
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  50. Optimal investment, consumption and proportional reinsurance under model uncertainty. (2014). Chen, Fenge ; Hu, Yijun ; Peng, Xingchun.
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  51. Optimal reinsurance and investment with unobservable claim size and intensity. (2014). Bayraktar, Erhan ; Liang, Zhibin.
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  52. Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. (2014). Guan, Guohui ; Liang, Zongxia .
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  53. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting. (2013). Zhou, Ming ; Cai, Jun ; Bai, Lihua .
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  54. Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (2013). Yi, BO ; Li, Zhongfei ; Zeng, Yan ; Viens, Frederi G..
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  55. Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model. (2013). Zhao, Yonggan ; Rong, Ximin.
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  56. Optimal proportional reinsurance and investment under partial information. (2013). Peng, Xingchun ; Hu, Yijun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:2:p:416-428.

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  57. Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversion. (2013). Li, Yongwu.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:1:p:86-97.

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  58. Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. (2012). Gu, Ailing ; Li, Zhongfei ; Zeng, Yan ; Guo, Xianping.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:3:p:674-684.

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  59. Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. (2012). Zeng, Yan ; Li, Zhongfei ; Lai, Yongzeng.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:51:y:2012:i:1:p:191-203.

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  60. Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. (2011). Guo, Junyi ; Liang, Zhibin ; Yuen, Kam Chuen.
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    RePEc:eee:insuma:v:49:y:2011:i:2:p:207-215.

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  61. Optimal time-consistent investment and reinsurance policies for mean-variance insurers. (2011). Zeng, Yan ; Li, Zhongfei.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:49:y:2011:i:1:p:145-154.

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  62. On optimal investment in a reinsurance context with a point process market model. (2010). Edoli, Enrico ; Runggaldier, Wolfgang J..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:47:y:2010:i:3:p:315-326.

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