Liu, Shan; Zhao, Hui; Rong, Ximin Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment. (English) Zbl 07475164 J. Ind. Manag. Optim. 18, No. 2, 1185-1222 (2022). MSC: 93E20 91G80 91G10 PDF BibTeX XML Cite \textit{S. Liu} et al., J. Ind. Manag. Optim. 18, No. 2, 1185--1222 (2022; Zbl 07475164) Full Text: DOI OpenURL
A, Chun-Xiang; Gu, Ai-Lin; Shao, Yi Optimal reinsurance and investment strategy with delay in Heston’s SV model. (English) Zbl 07421464 J. Oper. Res. Soc. China 9, No. 2, 245-271 (2021). MSC: 91G05 93E20 34K50 PDF BibTeX XML Cite \textit{C.-X. A} et al., J. Oper. Res. Soc. China 9, No. 2, 245--271 (2021; Zbl 07421464) Full Text: DOI OpenURL
Zhang, Yan; Zhao, Peibiao; Teng, Xinghu; Mao, Lei Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform. (English) Zbl 1476.91136 J. Ind. Manag. Optim. 17, No. 4, 2139-2159 (2021). MSC: 91G05 93E20 62P05 PDF BibTeX XML Cite \textit{Y. Zhang} et al., J. Ind. Manag. Optim. 17, No. 4, 2139--2159 (2021; Zbl 1476.91136) Full Text: DOI OpenURL
Guan, Guohui; Wang, Xiaojun Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility. (English) Zbl 1451.91167 Scand. Actuar. J. 2020, No. 8, 677-699 (2020). MSC: 91G05 91B16 PDF BibTeX XML Cite \textit{G. Guan} and \textit{X. Wang}, Scand. Actuar. J. 2020, No. 8, 677--699 (2020; Zbl 1451.91167) Full Text: DOI OpenURL
Zhang, Qiang; Chen, Ping Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps. (English) Zbl 1459.91169 Methodol. Comput. Appl. Probab. 22, No. 2, 777-801 (2020). Reviewer: Emilia Di Lorenzo (Napoli) MSC: 91G05 49L20 60H30 60J74 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, Methodol. Comput. Appl. Probab. 22, No. 2, 777--801 (2020; Zbl 1459.91169) Full Text: DOI OpenURL
Yang, Peng Robust time-consistent portfolio selection for an investor under CEV model with inflation influence. (English) Zbl 1459.91189 Math. Probl. Eng. 2020, Article ID 2359135, 14 p. (2020). MSC: 91G10 PDF BibTeX XML Cite \textit{P. Yang}, Math. Probl. Eng. 2020, Article ID 2359135, 14 p. (2020; Zbl 1459.91189) Full Text: DOI OpenURL
Zhu, Jiaqi; Guan, Guohui; Li, Shenghong Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks. (English) Zbl 1435.91168 J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020). MSC: 91G05 91A15 91A80 PDF BibTeX XML Cite \textit{J. Zhu} et al., J. Comput. Appl. Math. 374, Article ID 112737, 18 p. (2020; Zbl 1435.91168) Full Text: DOI OpenURL
Wang, Suxin; Rong, Ximin; Zhao, Hui Mean-variance problem for an insurer with default risk under a jump-diffusion risk model. (English) Zbl 07528155 Commun. Stat., Theory Methods 48, No. 17, 4221-4249 (2019). MSC: 62-XX PDF BibTeX XML Cite \textit{S. Wang} et al., Commun. Stat., Theory Methods 48, No. 17, 4221--4249 (2019; Zbl 07528155) Full Text: DOI OpenURL
Zhang, Xin; Meng, Hui; Xiong, Jie; Shen, Yang Robust optimal investment and reinsurance of an insurer under jump-diffusion models. (English) Zbl 1426.91237 Math. Control Relat. Fields 9, No. 1, 59-76 (2019). MSC: 91G05 91G80 93E20 93B35 91A15 91A23 60J75 60G50 PDF BibTeX XML Cite \textit{X. Zhang} et al., Math. Control Relat. Fields 9, No. 1, 59--76 (2019; Zbl 1426.91237) Full Text: DOI OpenURL
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, Wenjun Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion. (English) Zbl 1425.91238 Insur. Math. Econ. 88, 159-180 (2019). MSC: 91B30 91G40 91A80 PDF BibTeX XML Cite \textit{H. Zhao} et al., Insur. Math. Econ. 88, 159--180 (2019; Zbl 1425.91238) Full Text: DOI OpenURL
Zhang, Qiang; Chen, Ping Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps. (English) Zbl 1410.91295 J. Comput. Appl. Math. 356, 46-66 (2019). MSC: 91B30 93E20 60J75 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, J. Comput. Appl. Math. 356, 46--66 (2019; Zbl 1410.91295) Full Text: DOI OpenURL
Xue, Xiaole; Wei, Pengyu; Weng, Chengguo Derivatives trading for insurers. (English) Zbl 1419.91387 Insur. Math. Econ. 84, 40-53 (2019). MSC: 91B30 91G20 91G10 93E20 PDF BibTeX XML Cite \textit{X. Xue} et al., Insur. Math. Econ. 84, 40--53 (2019; Zbl 1419.91387) Full Text: DOI OpenURL
Guan, Guohui; Liang, Zongxia; Feng, Jian Time-consistent proportional reinsurance and investment strategies under ambiguous environment. (English) Zbl 1417.91269 Insur. Math. Econ. 83, 122-133 (2018). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{G. Guan} et al., Insur. Math. Econ. 83, 122--133 (2018; Zbl 1417.91269) Full Text: DOI OpenURL
Li, Danping; Zeng, Yan; Yang, Hailiang Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. (English) Zbl 1416.91203 Scand. Actuar. J. 2018, No. 2, 145-171 (2018). MSC: 91B30 60J75 90C39 90C15 PDF BibTeX XML Cite \textit{D. Li} et al., Scand. Actuar. J. 2018, No. 2, 145--171 (2018; Zbl 1416.91203) Full Text: DOI OpenURL
A, Chunxiang; Lai, Yongzeng; Shao, Yi Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model. (English) Zbl 1422.91320 J. Comput. Appl. Math. 342, 317-336 (2018). MSC: 91B30 93E20 60J75 60H10 PDF BibTeX XML Cite \textit{C. A} et al., J. Comput. Appl. Math. 342, 317--336 (2018; Zbl 1422.91320) Full Text: DOI OpenURL
Zhang, Qiang; Chen, Ping Time-consistent mean-variance proportional reinsurance and investment problem in a defaultable market. (English) Zbl 1410.91294 Optimization 67, No. 5, 683-699 (2018). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{Q. Zhang} and \textit{P. Chen}, Optimization 67, No. 5, 683--699 (2018; Zbl 1410.91294) Full Text: DOI OpenURL
Wang, Yajie; Rong, Ximin; Zhao, Hui Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model. (English) Zbl 1372.91097 J. Comput. Appl. Math. 328, 414-431 (2018). MSC: 91G10 91B30 60J75 93E20 PDF BibTeX XML Cite \textit{Y. Wang} et al., J. Comput. Appl. Math. 328, 414--431 (2018; Zbl 1372.91097) Full Text: DOI OpenURL
Yang, Peng Time-consistent mean-variance reinsurance-investment in a jump-diffusion financial market. (English) Zbl 1369.91102 Optimization 66, No. 5, 737-758 (2017). MSC: 91B30 91G10 60J75 PDF BibTeX XML Cite \textit{P. Yang}, Optimization 66, No. 5, 737--758 (2017; Zbl 1369.91102) Full Text: DOI OpenURL
Zhao, Hui; Weng, ChengGuo; Shen, Yang; Zeng, Yan Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models. (English) Zbl 1367.60088 Sci. China, Math. 60, No. 2, 317-344 (2017). MSC: 60H30 60H10 91B30 91G80 90C39 PDF BibTeX XML Cite \textit{H. Zhao} et al., Sci. China, Math. 60, No. 2, 317--344 (2017; Zbl 1367.60088) Full Text: DOI OpenURL
Sun, Jingyun; Li, Zhongfei; Li, Yongwu Equilibrium investment strategy for DC pension plan with inflation and stochastic income under Heston’s SV model. (English) Zbl 1400.91563 Math. Probl. Eng. 2016, Article ID 2391849, 18 p. (2016). MSC: 91G10 PDF BibTeX XML Cite \textit{J. Sun} et al., Math. Probl. Eng. 2016, Article ID 2391849, 18 p. (2016; Zbl 1400.91563) Full Text: DOI OpenURL
Luo, Shangzhen; Wang, Mingming; Zeng, Xudong Optimal reinsurance: minimize the expected time to reach a goal. (English) Zbl 1401.91171 Scand. Actuar. J. 2016, No. 8, 741-762 (2016). MSC: 91B30 93E20 60J60 49L20 PDF BibTeX XML Cite \textit{S. Luo} et al., Scand. Actuar. J. 2016, No. 8, 741--762 (2016; Zbl 1401.91171) Full Text: DOI OpenURL
Lin, Xiang; Qian, Yiping Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model. (English) Zbl 1401.91168 Scand. Actuar. J. 2016, No. 7, 646-671 (2016). MSC: 91B30 49L20 62J10 PDF BibTeX XML Cite \textit{X. Lin} and \textit{Y. Qian}, Scand. Actuar. J. 2016, No. 7, 646--671 (2016; Zbl 1401.91168) Full Text: DOI OpenURL
Li, Danping; Rong, Ximin; Zhao, Hui Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model. (English) Zbl 1371.91099 Comput. Appl. Math. 35, No. 2, 533-557 (2016). MSC: 91B30 91G10 60J75 60H30 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., Comput. Appl. Math. 35, No. 2, 533--557 (2016; Zbl 1371.91099) Full Text: DOI OpenURL
Zheng, Xiaoxiao; Zhou, Jieming; Sun, Zhongyang Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model. (English) Zbl 1348.91195 Insur. Math. Econ. 67, 77-87 (2016). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{X. Zheng} et al., Insur. Math. Econ. 67, 77--87 (2016; Zbl 1348.91195) Full Text: DOI OpenURL
Zhao, Hui; Shen, Yang; Zeng, Yan Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security. (English) Zbl 1331.91105 J. Math. Anal. Appl. 437, No. 2, 1036-1057 (2016). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{H. Zhao} et al., J. Math. Anal. Appl. 437, No. 2, 1036--1057 (2016; Zbl 1331.91105) Full Text: DOI OpenURL
Li, Danping; Rong, Ximin; Zhao, Hui Optimal investment problem for an insurer and a reinsurer. (English) Zbl 1333.91033 J. Syst. Sci. Complex. 28, No. 6, 1326-1343 (2015). MSC: 91B30 93E20 49L20 PDF BibTeX XML Cite \textit{D. Li} et al., J. Syst. Sci. Complex. 28, No. 6, 1326--1343 (2015; Zbl 1333.91033) Full Text: DOI OpenURL
Li, Danping; Rong, Ximin; Zhao, Hui Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk. (English) Zbl 1348.91161 Insur. Math. Econ. 64, 28-44 (2015). MSC: 91B30 93E20 91G10 60H30 PDF BibTeX XML Cite \textit{D. Li} et al., Insur. Math. Econ. 64, 28--44 (2015; Zbl 1348.91161) Full Text: DOI OpenURL
Shen, Yang; Zeng, Yan Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process. (English) Zbl 1318.91123 Insur. Math. Econ. 62, 118-137 (2015). MSC: 91B30 91G10 60H30 PDF BibTeX XML Cite \textit{Y. Shen} and \textit{Y. Zeng}, Insur. Math. Econ. 62, 118--137 (2015; Zbl 1318.91123) Full Text: DOI OpenURL
Sheng, De-Lei; Rong, Ximin; Zhao, Hui Optimal control of investment-reinsurance problem for an insurer with jump-diffusion risk process: independence of Brownian motions. (English) Zbl 1406.91206 Abstr. Appl. Anal. 2014, Article ID 194962, 19 p. (2014). MSC: 91B30 60J75 93E20 PDF BibTeX XML Cite \textit{D.-L. Sheng} et al., Abstr. Appl. Anal. 2014, Article ID 194962, 19 p. (2014; Zbl 1406.91206) Full Text: DOI OpenURL
Chang, Hao; Chang, Kai Legendre transform-dual solution for investment and consumption problem under the Vasicek model. (English) Zbl 1327.93409 J. Syst. Sci. Complex. 27, No. 5, 911-927 (2014). MSC: 93E20 49L20 91B42 PDF BibTeX XML Cite \textit{H. Chang} and \textit{K. Chang}, J. Syst. Sci. Complex. 27, No. 5, 911--927 (2014; Zbl 1327.93409) Full Text: DOI OpenURL
Li, Danping; Rong, Ximin; Zhao, Hui Optimal reinsurance-investment problem for maximizing the product of the insurer’s and the reinsurer’s utilities under a CEV model. (English) Zbl 1291.91120 J. Comput. Appl. Math. 255, 671-683 (2014). MSC: 91B30 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 255, 671--683 (2014; Zbl 1291.91120) Full Text: DOI OpenURL
Zhao, Hui; Rong, Ximin; Zhao, Yonggan Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model. (English) Zbl 1290.91106 Insur. Math. Econ. 53, No. 3, 504-514 (2013). MSC: 91B30 60J75 60H30 91B70 PDF BibTeX XML Cite \textit{H. Zhao} et al., Insur. Math. Econ. 53, No. 3, 504--514 (2013; Zbl 1290.91106) Full Text: DOI OpenURL
Mao, Hong; Carson, James M.; Ostaszewski, Krzysztof M.; Wen, Zhongkai Optimal decision on dynamic insurance price and investment portfolio of an insurer. (English) Zbl 1284.91255 Insur. Math. Econ. 52, No. 2, 359-369 (2013). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{H. Mao} et al., Insur. Math. Econ. 52, No. 2, 359--369 (2013; Zbl 1284.91255) Full Text: DOI OpenURL
Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. (English) Zbl 1285.91057 Insur. Math. Econ. 51, No. 3, 674-684 (2012). MSC: 91B30 91G10 49L20 93E20 PDF BibTeX XML Cite \textit{A. Gu} et al., Insur. Math. Econ. 51, No. 3, 674--684 (2012; Zbl 1285.91057) Full Text: DOI OpenURL