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Optimal mean-variance investment/reinsurance withcommon shock in a regime-switching market
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen - In: Mathematical methods of operations research 90 (2019) 1, pp. 109-135
Persistent link: https://www.econbiz.de/10012116630
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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
Liang, Zhibin; Bi, Junna; Yuen, Kam Chuen; Zhang, Caibin - In: Mathematical methods of operations research 84 (2016) 1, pp. 155-181
Persistent link: https://www.econbiz.de/10011673473
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Regularity properties in a state-constrained expected utility maximization problem
Lazgham, Mourad - In: Mathematical methods of operations research 88 (2018) 2, pp. 185-240
Persistent link: https://www.econbiz.de/10011935660
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A maximum principle for Markov regime-switching forward-backward stochastic differential games and applications
Menoukeu-Pamen, Olivier; Momeya, Romuald Hervé - In: Mathematical methods of operations research 85 (2017) 3, pp. 349-388
Persistent link: https://www.econbiz.de/10011714509
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No-arbitrage and optimal investment with possibly non-concave utilities : a measure theoretical approach
Blanchard, Romain; Carassus, Laurence; Rásonyi, Miklós - In: Mathematical methods of operations research 88 (2018) 2, pp. 241-281
Persistent link: https://www.econbiz.de/10011935667
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Optimal mean-variance asset-liability management with stochastic interest rates and inflation risks
Pan, Jian; Xiao, Qingxian - In: Mathematical methods of operations research 85 (2017) 3, pp. 491-519
Persistent link: https://www.econbiz.de/10011714519
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Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
Sun, Zhongyang; Guo, Junyi - In: Mathematical methods of operations research 88 (2018) 1, pp. 59-79
Persistent link: https://www.econbiz.de/10011903385