Optimal investment and reinsurance strategies under 4/2 stochastic volatility model
Year of publication: |
2023
|
---|---|
Authors: | Wang, Wenyuan ; Muravey, Dmitry ; Shen, Yang ; Zeng, Yan |
Subject: | 4/2 stochastic volatility model | Lie symmetries | mean-variance optimization | parabolic partial differential equation | parametrix method | Reinsurance | Rückversicherung | Stochastischer Prozess | Stochastic process | Volatilität | Volatility | Optionspreistheorie | Option pricing theory | Analysis | Mathematical analysis | Risikomodell | Risk model | Versicherungsmathematik | Actuarial mathematics |
-
A BSDE-based approach for the optimal reinsurance problem under partial information
Brachetta, M., (2020)
-
Lv, Chen, (2018)
-
A class of nonzero-sum investment and reinsurance games subject to systematic risks
Siu, Chi Chung, (2017)
- More ...
-
Zhao, Hui, (2017)
-
Zhao, Hui, (2015)
-
Optimal investment-reinsurance with delay for mean-variance insurers : a maximum principle approach
Shen, Yang, (2014)
- More ...