Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling

Optimal investment for insurers

Christian Hipp, Michael Plum · Insurance Mathematics and Economics · 2000 · 317 citations

Economics, Insurance Law, Health Insurance +9

Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift

S. David Promislow, Virginia R. Young · North American Actuarial Journal · 2005 · 310 citations

Engineering, Insurance Law, Automobile Insurance +15

Optimal investment for insurer with jump-diffusion risk process

Hailiang Yang, Lihong Zhang · Insurance Mathematics and Economics · 2005 · 297 citations

Option Pricing, Business, Optimal Investment +4

Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

Lihua Bai, Junyi Guo · Insurance Mathematics and Economics · 2007 · 235 citations

Optimal Proportional Reinsurance, Economics, Portfolio Optimization +11

Optimal time-consistent investment and reinsurance policies for mean-variance insurers

Yan Zeng, Zhongfei Li · Insurance Mathematics and Economics · 2011 · 218 citations

Asset Pricing, Optimal Time-consistent Investment, Business +4