Concepedia

Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework

Yu Yuan, Xia Han, Zhibin Liang, Kam Chuen Yuen

European Journal of Operational Research · 2023 · 31 citations · 45 references

Concepts

BusinessFinancial ManagementRisk ManagementFinancial EconomicsInsurance EconomicsReinsuranceInvestment Management For InsurersReinsurance EconomicsReinsurance FinanceReinsurance MarketsReinsurance OperationsRisk TheoryMean-variance AnalysisOptimal InvestmentOptimal RetentionReinsurance Capital AllocationReinsurance Correlation ModelingReinsurance Optimization Under UncertaintyReinsurance Strategy

References

45

Brownian motion and stochastic calculus

Jan Seidler · Acta Applicandae Mathematicae · 1991 · 2.2K citations

Engineering, Mathematics, Physics +14

Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework

Xun Yu Zhou, Duan Li · Applied Mathematics & Optimization · 2000 · 1.1K citations

Business, Finance, Financial Management +14

Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation

Duan Li, Wan‐Lung Ng · Mathematical Finance · 2000 · 1K citations

Business, Finance, Financial Management +17

MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION

Tomas Björk, Agatha Murgoci, Xun Yu Zhou · Mathematical Finance · 2012 · 528 citations · Full text

Social Sciences, Economics, Finance +17

A General Theory of Markovian Time Inconsistent Stochastic Control Problems

Tomas Björk, Agatha Murgoci · SSRN Electronic Journal · 2010 · 354 citations · Full text

Natural Sciences, Mathematics, Game Theory +16