Optimal investment for insurer with jump-diffusion risk process
H Yang, L Zhang - Insurance: Mathematics and Economics, 2005 - Elsevier
In this paper, we study optimal investment policies of an insurer with jump-diffusion risk
process. Under the assumptions that the risk process is compound Poisson process …
process. Under the assumptions that the risk process is compound Poisson process …
Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
X Zheng, J Zhou, Z Sun - Insurance: Mathematics and Economics, 2016 - Elsevier
We investigate a robust optimal portfolio and reinsurance problem under a Cramér–
Lundberg risk model for an ambiguity-averse insurer (AAI), who worries about uncertainty in …
Lundberg risk model for an ambiguity-averse insurer (AAI), who worries about uncertainty in …
Optimal investment and risk control policies for an insurer: Expected utility maximization
B Zou, A Cadenillas - Insurance: Mathematics and Economics, 2014 - Elsevier
Motivated by the AIG bailout case in the financial crisis of 2007–2008, we consider an
insurer who wants to maximize his/her expected utility of terminal wealth by selecting …
insurer who wants to maximize his/her expected utility of terminal wealth by selecting …
Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
In this paper, we consider the jump‐diffusion risk model with proportional reinsurance and
stock price process following the constant elasticity of variance model. Compared with the …
stock price process following the constant elasticity of variance model. Compared with the …
Dynamic resource management to defend against advanced persistent threats in fog computing: A game theoretic approach
Fog computing has gained tremendous popularity due to its capability of addressing the
surging demand on high-quality ubiquitous mobile services. Nevertheless, the highly …
surging demand on high-quality ubiquitous mobile services. Nevertheless, the highly …
[图书][B] Three essays on the optimal allocation of risk with illiquidity, intergenerational sharing and systemic institutions
D Dimitrov - 2022 - pure.uva.nl
In this thesis, we consider three non-trivial problems of risk allocation and apply approaches
from theoretical finance and risk management to address several policy debates from a …
from theoretical finance and risk management to address several policy debates from a …
Optimal consumption–investment and life-insurance purchase strategy for couples with correlated lifetimes
This paper presents a technique to solve the problem where a couple aims to optimize their
consumption, investment, and life-insurance purchasing strategies, thereby maximizing their …
consumption, investment, and life-insurance purchasing strategies, thereby maximizing their …
Optimal investment and consumption decision of a family with life insurance
We study an optimal portfolio and consumption choice problem of a family that combines life
insurance for parents who receive deterministic labor income until the fixed time T. We …
insurance for parents who receive deterministic labor income until the fixed time T. We …
Optimality of excess-loss reinsurance under a mean–variance criterion
In this paper, we study an insurer's reinsurance–investment problem under a mean–
variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy …
variance criterion. We show that excess-loss is the unique equilibrium reinsurance strategy …
Optimal premium policy of an insurance firm: full and partial information
J Huang, G Wang, Z Wu - Insurance: Mathematics and Economics, 2010 - Elsevier
Herein, we study the optimization problem faced by an insurance firm who can control its
cash-balance dynamics by adjusting the underlying premium rate. The firm's objective is to …
cash-balance dynamics by adjusting the underlying premium rate. The firm's objective is to …