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Mean-variance portfolio selection in a jump-diffusion financial market with common shock dependence

Tian, Yingxu; Sun, Zhongyang - In: Journal of risk and financial management : JRFM 11 (2018) 2, pp. 1-12

This paper considers the optimal investment problem in a financial market with one risk-free asset and one jump-diffusion risky asset. It is assumed that the insurance risk process is driven by a compound Poisson process and the two jump number processes are correlated by a common shock. A...

Persistent link: https://www.econbiz.de/10011857001

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

Common shock models for claim arrays

Avanzi, Benjamin; Taylor, Greg; Wong, Bernard - In: Astin bulletin : the journal of the International … 48 (2018) 3, pp. 1109-1136

Persistent link: https://www.econbiz.de/10011999873

Sharp asymptotics for large portfolio losses under extreme risks

Tang, Qihe; Tang, Zhaofeng; Yang, Yang - In: European journal of operational research : EJOR 276 (2019) 2, pp. 710-722

Persistent link: https://www.econbiz.de/10012003644

Common shock approach to counterparty default risk of reinsurance

Hendrych, Radek; Cipra, Tomáš - In: Risk management : a journal of risk, crisis and disaster 21 (2019) 2, pp. 123-151

Persistent link: https://www.econbiz.de/10012060290

Optimal dynamic reinsurance with common shock dependence and state-dependent risk aversion

Zhang, Caibin; Liang, Zhibin; Yuen, Kam Chuen - In: International journal of financial engineering 6 (2019) 1, pp. 1-45

Persistent link: https://www.econbiz.de/10012028852

Income tax evasion and audits under common and idiosyncratic shocks

Bag, Parimal Kanti; Wang, Peng - In: Journal of economic behavior & organization : JEBO 184 (2021), pp. 99-116

Persistent link: https://www.econbiz.de/10012600846

On unbalanced data and common shock models in stochastic loss reserving

Avanzi, Benjamin; Taylor, Greg; Vu, Phuong Anh; Wong, … - In: Annals of actuarial science : publ. by the Institute of … 15 (2021) 1, pp. 173-203

Persistent link: https://www.econbiz.de/10012505609

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

Systemic risk in financial risk regulation

Cipra, Tomáš; Hendrych, Radek - In: Finance a úvěr 67 (2017) 1, pp. 15-38

Persistent link: https://www.econbiz.de/10011720685