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Loss-averse retailers' financial offerings to capital-constrained suppliers : loan vs. investment
Yan, Nina; Jin, Xuyu; Zhong, Hechen; Xu, Xun - In: International journal of production economics 227 (2020), pp. 1-15
Persistent link: https://www.econbiz.de/10012298546
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Quantitative finance : its development, mathematical foundations, and current scope
Epps, Thomas W. - 2009
Persistent link: https://www.econbiz.de/10003756274
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Optimal Consumption from Investment and Random Endowment in Incomplete Semimartingale Markets
Karatzas, Ioannis - 2018
We consider the problem of maximizing expected utility from consumption in a constrained incomplete semimartingale market with a random endowment process, and establish a general existence and uniqueness result using techniques from convex duality. The notion of “asymptotic elasticity” of...
Persistent link: https://www.econbiz.de/10012923117
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Optimal time-consistent investment and reinsurance policies for mean-variance insurers
Zeng, Yan; Li, Zhongfei - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 145-154
Persistent link: https://www.econbiz.de/10009157423
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Optimal investment, consumption and proportional reinsurance under model uncertainty
Peng, Xingchun; Chen, Fenge; Hu, Yijun - In: Insurance / Mathematics & economics 59 (2014), pp. 222-234
Persistent link: https://www.econbiz.de/10010469132
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Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
Cao, Yusong; Wan, Nianqing - In: Insurance / Mathematics & economics 45 (2009) 2, pp. 157-162
Persistent link: https://www.econbiz.de/10009517586
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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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Minimizing capital injections by investment and reinsurence for a piecewise deterministic reserve process model
Antonello, Michele; Cipani, Luca; Runggaldier, Wolfgang J. - In: Scandinavian actuarial journal (2018) 10, pp. 907-932
Persistent link: https://www.econbiz.de/10011939796
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Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
Ceci, Claudia; Colaneri, Katia; Cretarola, Alessandra - In: Insurance / Mathematics & economics 105 (2022), pp. 252-278
Persistent link: https://www.econbiz.de/10013349033
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Optimal Per-Loss Reinsurance and Investment Problem Under Negative Correlation Assumption
Wang, Fudong; Liang, Zhibin - 2023
In this paper, we consider the optimal reinsurance and investment problem for the insurance company, where the insurer … to the one-dimensional problem, and obtain the explicit form of the optimal reinsurance and investment strategies as well … can purchase per-loss reinsurance and invest the surplus in a financial market, and the insurer’s claim liabilities and …
Persistent link: https://www.econbiz.de/10014358785