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On the threshold dividend strategy for a generalized jump : diffusion risk model
Chi, Yichun; Lin, X. Sheldon - In: Insurance / Mathematics & economics 48 (2011) 3, pp. 326-337
Persistent link: https://www.econbiz.de/10008989302
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An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
Badaoui, Mohamed; Fernández, Begoña - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10009785429
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Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows
Zhou, Zhongbao; Xiao, Helu; Yin, Jialing; Zeng, Ximei; … - In: Insurance / Mathematics & economics 68 (2016), pp. 187-202
Persistent link: https://www.econbiz.de/10011492670
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Outperformance portfolio optimization via the equivalence of pure and randomized hypothesis testing
Leung, Tim; Song, Qingshuo; Yang, Jie - In: Finance and stochastics 17 (2013) 4, pp. 839-870
Persistent link: https://www.econbiz.de/10010190872
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Bowley solution of a mean-variance game in insurance
Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 98 (2021), pp. 35-43
Persistent link: https://www.econbiz.de/10012545274
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Stackelberg differential game for reinsurance : mean-variance framework and random horizon
Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 102 (2022), pp. 42-55
Persistent link: https://www.econbiz.de/10013271955
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Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
Wang, Ning; Zhang, Nan; Zhuo, Jin; Qian, Linyi - In: Insurance / Mathematics & economics 96 (2021), pp. 168-184
Persistent link: https://www.econbiz.de/10012482845
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A continuous-time theory of reinsurance chains
Lv, Chen; Shen, Yang; Su, Jianxi - In: Insurance / Mathematics & economics 95 (2020), pp. 129-146
Persistent link: https://www.econbiz.de/10012419263
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A stochastic Nash equilibrium portfolio game between two DC pension funds
Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 70 (2016), pp. 237-244
Persistent link: https://www.econbiz.de/10011597279
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A paradox in time-consistency in the mean-variance problem?
Bensoussan, Alain; Wong, Kwok Chuen; Yam, Sheung Chi Phillip - In: Finance and stochastics 23 (2019) 1, pp. 173-207
Persistent link: https://www.econbiz.de/10012023708