Yang, Lu; Zhang, Chengke; Zhu, Huainian Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay. (English) Zbl 07536591 Methodol. Comput. Appl. Probab. 24, No. 1, 361-384 (2022). MSC: 91A15 PDF BibTeX XML Cite \textit{L. Yang} et al., Methodol. Comput. Appl. Probab. 24, No. 1, 361--384 (2022; Zbl 07536591) Full Text: DOI OpenURL
Shen, Yang; Zou, Bin Mean-variance portfolio selection in contagious markets. (English) Zbl 07511195 SIAM J. Financ. Math. 13, No. 2, 391-425 (2022). MSC: 91G10 60G55 93E20 49N10 PDF BibTeX XML Cite \textit{Y. Shen} and \textit{B. Zou}, SIAM J. Financ. Math. 13, No. 2, 391--425 (2022; Zbl 07511195) Full Text: DOI OpenURL
Bi, Junna; Li, Danping; Zhang, Nan Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles. (English) Zbl 1484.91374 RAIRO, Oper. Res. 56, No. 1, 1-22 (2022). MSC: 91G05 90C39 PDF BibTeX XML Cite \textit{J. Bi} et al., RAIRO, Oper. Res. 56, No. 1, 1--22 (2022; Zbl 1484.91374) Full Text: DOI OpenURL
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
Wang, Peiqi; Rong, Ximin; Zhao, Hui; Wang, Yajie Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon. (English) Zbl 07532933 Commun. Stat., Theory Methods 50, No. 4, 993-1017 (2021). MSC: 91G10 62-XX PDF BibTeX XML Cite \textit{P. Wang} et al., Commun. Stat., Theory Methods 50, No. 4, 993--1017 (2021; Zbl 07532933) Full Text: DOI OpenURL
Chen, Fenge; Peng, Xingchun Optimal deterministic reinsurance and investment for an insurer under mean-variance criterion. (English) Zbl 07530971 Commun. Stat., Theory Methods 50, No. 13, 3123-3136 (2021). MSC: 97M30 91G80 93E20 60H30 62-XX PDF BibTeX XML Cite \textit{F. Chen} and \textit{X. Peng}, Commun. Stat., Theory Methods 50, No. 13, 3123--3136 (2021; Zbl 07530971) Full Text: DOI OpenURL
Sunar, Nur; Yu, Siyun; Kulkarni, Vidyadhar G. Competitive investment with Bayesian learning: choice of business size and timing. (English) Zbl 1484.91511 Oper. Res. 69, No. 5, 1430-1449 (2021). MSC: 91G50 60G40 PDF BibTeX XML Cite \textit{N. Sunar} et al., Oper. Res. 69, No. 5, 1430--1449 (2021; Zbl 1484.91511) Full Text: DOI OpenURL
Bi, Junna; Cai, Jun; Zeng, Yan Equilibrium reinsurance-investment strategies with partial information and common shock dependence. (English) Zbl 1478.91160 Ann. Oper. Res. 307, No. 1-2, 1-24 (2021). MSC: 91G05 62P05 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Ann. Oper. Res. 307, No. 1--2, 1--24 (2021; Zbl 1478.91160) Full Text: DOI OpenURL
Christensen, Bent Jesper; Parra-Alvarez, Juan Carlos; Serrano, Rafael Optimal control of investment, premium and deductible for a non-life insurance company. (English) Zbl 1475.91293 Insur. Math. Econ. 101, 384-405 (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{B. J. Christensen} et al., Insur. Math. Econ. 101, 384--405 (2021; Zbl 1475.91293) Full Text: DOI OpenURL
Han, Xia; Liang, Zhibin; Yuen, Kam C. Minimizing the probability of absolute ruin under the mean-variance premium principle. (English) Zbl 1471.91460 Optim. Control Appl. Methods 42, No. 3, 786-806 (2021). MSC: 91G05 PDF BibTeX XML Cite \textit{X. Han} et al., Optim. Control Appl. Methods 42, No. 3, 786--806 (2021; Zbl 1471.91460) Full Text: DOI OpenURL
Yang, Lu; Zhu, Huainian; Zhang, Chengke Robust optimal control for derivative-based investment under the Heston model. (Chinese. English summary) Zbl 07404242 J. Syst. Eng. 36, No. 2, 157-170 (2021). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{L. Yang} et al., J. Syst. Eng. 36, No. 2, 157--170 (2021; Zbl 07404242) Full Text: DOI OpenURL
Tian, Yingxu; Guo, Junyi; Sun, Zhongyang Optimal mean-variance reinsurance in a financial market with stochastic rate of return. (English) Zbl 1476.91132 J. Ind. Manag. Optim. 17, No. 4, 1887-1912 (2021). MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{Y. Tian} et al., J. Ind. Manag. Optim. 17, No. 4, 1887--1912 (2021; Zbl 1476.91132) Full Text: DOI OpenURL
Li, Danping; Bi, Junna; Hu, Mengcong Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk. (English) Zbl 1471.91469 RAIRO, Oper. Res. 55, Suppl., S2983-S2997 (2021). Reviewer: Jonas Šiaulys (Vilnius) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., RAIRO, Oper. Res. 55, S2983--S2997 (2021; Zbl 1471.91469) Full Text: DOI OpenURL
Alia, Ishak; Chighoub, Farid Continuous-time mean-variance portfolio selection with regime-switching financial market: time-consistent solution. (English) Zbl 1461.91265 Random Oper. Stoch. Equ. 29, No. 1, 11-25 (2021). Reviewer: George Stoica (Saint John) MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{I. Alia} and \textit{F. Chighoub}, Random Oper. Stoch. Equ. 29, No. 1, 11--25 (2021; Zbl 1461.91265) Full Text: DOI OpenURL
Jiang, Xin; Yuen, Kam Chuen; Chen, Mi Optimal investment and reinsurance with premium control. (English) Zbl 1476.91128 J. Ind. Manag. Optim. 16, No. 6, 2781-2797 (2020). MSC: 91G05 49L20 91G10 93E20 PDF BibTeX XML Cite \textit{X. Jiang} et al., J. Ind. Manag. Optim. 16, No. 6, 2781--2797 (2020; Zbl 1476.91128) Full Text: DOI OpenURL
Deng, Limei; Gu, Ailing; Yi, Bo Optimal investment strategy under a stochastic model for DC pension. (Chinese. English summary) Zbl 1474.91149 Acta Sci. Nat. Univ. Sunyatseni 59, No. 5, 19-28 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{L. Deng} et al., Acta Sci. Nat. Univ. Sunyatseni 59, No. 5, 19--28 (2020; Zbl 1474.91149) Full Text: DOI OpenURL
Li, Qi; Tan, Jiyang; Hu, Limin Optimal investment and dividend strategy in the discrete Sparre Andersen risk model. (Chinese. English summary) Zbl 1463.91114 Chin. J. Appl. Probab. Stat. 36, No. 3, 277-294 (2020). MSC: 91G05 PDF BibTeX XML Cite \textit{Q. Li} et al., Chin. J. Appl. Probab. Stat. 36, No. 3, 277--294 (2020; Zbl 1463.91114) Full Text: DOI OpenURL
Deng, Chao; Bian, Wenlong; Wu, Baiyi Optimal reinsurance and investment problem with default risk and bounded memory. (English) Zbl 1457.91328 Int. J. Control 93, No. 12, 2982-2994 (2020). Reviewer: Pavel Stoynov (Sofia) MSC: 91G05 93E20 PDF BibTeX XML Cite \textit{C. Deng} et al., Int. J. Control 93, No. 12, 2982--2994 (2020; Zbl 1457.91328) Full Text: DOI OpenURL
Zhao, Qian; Zhu, Shaohui Optimal investment strategies for an insurer with SAHARA utility. (English) Zbl 1463.91141 Chin. J. Appl. Probab. Stat. 36, No. 2, 181-196 (2020). MSC: 91G10 91B16 PDF BibTeX XML Cite \textit{Q. Zhao} and \textit{S. Zhu}, Chin. J. Appl. Probab. Stat. 36, No. 2, 181--196 (2020; Zbl 1463.91141) Full Text: DOI OpenURL
Gu, Ailing; Viens, Frederi G.; Shen, Yang Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model. (English) Zbl 1447.91139 Scand. Actuar. J. 2020, No. 4, 342-375 (2020). MSC: 91G05 91B43 90C39 PDF BibTeX XML Cite \textit{A. Gu} et al., Scand. Actuar. J. 2020, No. 4, 342--375 (2020; Zbl 1447.91139) Full Text: DOI OpenURL
Gerrard, Russell; Hiabu, Munir; Nielsen, Jens Perch; Vodička, Peter Long-term real dynamic investment planning. (English) Zbl 1445.91058 Insur. Math. Econ. 92, 90-103 (2020). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{R. Gerrard} et al., Insur. Math. Econ. 92, 90--103 (2020; Zbl 1445.91058) Full Text: DOI OpenURL
Chen, Zhiping; Yang, Peng Robust optimal reinsurance-investment strategy with price jumps and correlated claims. (English) Zbl 1445.91051 Insur. Math. Econ. 92, 27-46 (2020). MSC: 91G05 62P05 91G10 90C15 90C39 PDF BibTeX XML Cite \textit{Z. Chen} and \textit{P. Yang}, Insur. Math. Econ. 92, 27--46 (2020; Zbl 1445.91051) Full Text: DOI OpenURL
Vecer, J.; Kampen, J.; Navratil, R. Options on a traded account: symmetric treatment of the underlying assets. (English) Zbl 1431.91406 Quant. Finance 20, No. 1, 37-47 (2020). MSC: 91G20 35Q92 93E20 PDF BibTeX XML Cite \textit{J. Vecer} et al., Quant. Finance 20, No. 1, 37--47 (2020; Zbl 1431.91406) Full Text: DOI OpenURL
Wei, Jiaqin; Li, Danping; Zeng, Yan Robust optimal consumption-investment strategy with non-exponential discounting. (English) Zbl 1438.90188 J. Ind. Manag. Optim. 16, No. 1, 207-230 (2020). MSC: 90B50 93E20 91G80 PDF BibTeX XML Cite \textit{J. Wei} et al., J. Ind. Manag. Optim. 16, No. 1, 207--230 (2020; Zbl 1438.90188) Full Text: DOI OpenURL
Ozalp, Mustafa Asim; Yildirak, Kasirga; Okur, Yeliz Yolcu Optimal investment strategy and liability ratio for insurer with Lévy risk process. (English) Zbl 07411431 Hacet. J. Math. Stat. 48, No. 4, 1232-1249 (2019). MSC: 91G05 60G51 93E20 PDF BibTeX XML Cite \textit{M. A. Ozalp} et al., Hacet. J. Math. Stat. 48, No. 4, 1232--1249 (2019; Zbl 07411431) Full Text: Link OpenURL
Wang, Suxin; Rong, Ximin; Zhao, Hui Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans. (English) Zbl 1429.91296 Appl. Math. Comput. 346, 205-218 (2019). MSC: 91G10 91G05 PDF BibTeX XML Cite \textit{S. Wang} et al., Appl. Math. Comput. 346, 205--218 (2019; Zbl 1429.91296) Full Text: DOI OpenURL
Chang, Hao; Wang, Chunfeng; Fang, Zhenming Optimal reinsurance-investment strategy in a stochastic financial market. (Chinese. English summary) Zbl 1438.91105 Control Theory Appl. 36, No. 2, 307-318 (2019). MSC: 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{H. Chang} et al., Control Theory Appl. 36, No. 2, 307--318 (2019; Zbl 1438.91105) Full Text: DOI OpenURL
Guo, Wenjing; Li, Xiaojun Optimal consumption, investment and insurance purchase strategies based on perishable and indivisible durable consumption good. (Chinese. English summary) Zbl 1438.91076 Control Decis. 34, No. 5, 1109-1115 (2019). MSC: 91B42 91G10 91G05 93E20 PDF BibTeX XML Cite \textit{W. Guo} and \textit{X. Li}, Control Decis. 34, No. 5, 1109--1115 (2019; Zbl 1438.91076) Full Text: DOI OpenURL
Bi, Junna; Liang, Zhibin; Yuen, Kam Chuen Optimal mean-variance investment/reinsurance with common shock in a regime-switching market. (English) Zbl 1429.62459 Math. Methods Oper. Res. 90, No. 1, 109-135 (2019). MSC: 62P05 91G05 91G10 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Math. Methods Oper. Res. 90, No. 1, 109--135 (2019; Zbl 1429.62459) Full Text: DOI OpenURL
Chen, Yiling; Bian, Baojun Optimal investment and dividend policy in an insurance company: a varied bound for dividend rates. (English) Zbl 1432.35095 Discrete Contin. Dyn. Syst., Ser. B 24, No. 9, 5083-5105 (2019). Reviewer: Hanspeter Schmidli (Köln) MSC: 35J87 91B05 PDF BibTeX XML Cite \textit{Y. Chen} and \textit{B. Bian}, Discrete Contin. Dyn. Syst., Ser. B 24, No. 9, 5083--5105 (2019; Zbl 1432.35095) Full Text: DOI OpenURL
Pan, Jian; Hu, Shengzhou; Zhou, Xiangying Optimal investment strategy for asset-liability management under the Heston model. (English) Zbl 1422.91667 Optimization 68, No. 5, 895-920 (2019). MSC: 91G10 91B70 93E20 PDF BibTeX XML Cite \textit{J. Pan} et al., Optimization 68, No. 5, 895--920 (2019; Zbl 1422.91667) Full Text: DOI OpenURL
Wang, Suxin; Rong, Ximin; Zhao, Hui Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market. (English) Zbl 1411.91319 J. Math. Anal. Appl. 474, No. 2, 1267-1288 (2019). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{S. Wang} et al., J. Math. Anal. Appl. 474, No. 2, 1267--1288 (2019; Zbl 1411.91319) Full Text: DOI OpenURL
Bi, Junna; Cai, Jun Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. (English) Zbl 1419.91349 Insur. Math. Econ. 85, 1-14 (2019). MSC: 91B30 62P05 93E20 91G70 PDF BibTeX XML Cite \textit{J. Bi} and \textit{J. Cai}, Insur. Math. Econ. 85, 1--14 (2019; Zbl 1419.91349) Full Text: DOI OpenURL
Li, En; Wang, Yuanchang The application of the jump-diffusion model by the stochastic control theory in insurance. (Chinese. English summary) Zbl 1424.91056 Math. Pract. Theory 48, No. 14, 81-88 (2018). MSC: 91B30 91G10 93E20 60J75 PDF BibTeX XML Cite \textit{E. Li} and \textit{Y. Wang}, Math. Pract. Theory 48, No. 14, 81--88 (2018; Zbl 1424.91056) OpenURL
Yang, Peng Time-consistent investment strategy selection under asset and liability management. (Chinese. English summary) Zbl 1424.91115 J. Chongqing Norm. Univ., Nat. Sci. 35, No. 4, 74-80 (2018). MSC: 91G10 93E20 90C39 PDF BibTeX XML Cite \textit{P. Yang}, J. Chongqing Norm. Univ., Nat. Sci. 35, No. 4, 74--80 (2018; Zbl 1424.91115) Full Text: DOI OpenURL
Zhou, Rui; Rong, Ximin; Zhao, Hui Optimal reinsurance and investment strategies under CIR stochastic interest rate model. (Chinese. English summary) Zbl 1424.91075 Chin. J. Eng. Math. 35, No. 3, 245-257 (2018). MSC: 91B30 91G30 93E20 PDF BibTeX XML Cite \textit{R. Zhou} et al., Chin. J. Eng. Math. 35, No. 3, 245--257 (2018; Zbl 1424.91075) Full Text: DOI OpenURL
Li, Ya’nan; Guo, Junyi The optimal merging problem for two first-line insurers with investment and reinsurance policies. (Chinese. English summary) Zbl 1424.91058 Acta Math. Sin., Chin. Ser. 61, No. 6, 981-990 (2018). MSC: 91B30 60G40 PDF BibTeX XML Cite \textit{Y. Li} and \textit{J. Guo}, Acta Math. Sin., Chin. Ser. 61, No. 6, 981--990 (2018; Zbl 1424.91058) OpenURL
Nika, Z.; Rásonyi, M. Log-optimal portfolios with memory effect. (English) Zbl 1411.91522 Appl. Math. Finance 25, No. 5-6, 557-585 (2018). MSC: 91G10 62P05 PDF BibTeX XML Cite \textit{Z. Nika} and \textit{M. Rásonyi}, Appl. Math. Finance 25, No. 5--6, 557--585 (2018; Zbl 1411.91522) Full Text: DOI OpenURL
Guo, Chang; Zhuo, Xiaoyang; Constantinescu, Corina; Pamen, Olivier Menoukeu Optimal reinsurance-investment strategy under risks of interest rate, exchange rate and inflation. (English) Zbl 1411.91281 Methodol. Comput. Appl. Probab. 20, No. 4, 1477-1502 (2018). MSC: 91B30 49L20 90C39 91G80 91G30 PDF BibTeX XML Cite \textit{C. Guo} et al., Methodol. Comput. Appl. Probab. 20, No. 4, 1477--1502 (2018; Zbl 1411.91281) Full Text: DOI OpenURL
Wang, Yuanye; Fan, Shunhou; Chang, Hao DC pension plan with the return of premium clauses under inflation risk and volatility risk. (Chinese. English summary) Zbl 1424.91064 J. Syst. Sci. Math. Sci. 38, No. 4, 423-437 (2018). MSC: 91B30 93E20 PDF BibTeX XML Cite \textit{Y. Wang} et al., J. Syst. Sci. Math. Sci. 38, No. 4, 423--437 (2018; Zbl 1424.91064) OpenURL
Pan, Jian; Zhang, Zujin; Zhou, Xiangying Optimal dynamic mean-variance asset-liability management under the Heston model. (English) Zbl 1446.91077 Adv. Difference Equ. 2018, Paper No. 258, 16 p. (2018). MSC: 91G10 91G20 60H30 93E20 PDF BibTeX XML Cite \textit{J. Pan} et al., Adv. Difference Equ. 2018, Paper No. 258, 16 p. (2018; Zbl 1446.91077) 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
Landriault, David; Li, Bin; Li, Danping; Young, Virginia R. Equilibrium strategies for the mean-variance investment problem over a random horizon. (English) Zbl 1416.91354 SIAM J. Financ. Math. 9, No. 3, 1046-1073 (2018). MSC: 91G10 93E20 91B30 PDF BibTeX XML Cite \textit{D. Landriault} et al., SIAM J. Financ. Math. 9, No. 3, 1046--1073 (2018; Zbl 1416.91354) Full Text: DOI OpenURL
Gao, Jianwei; Wu, Yungao Optimal portfolio strategy of a defined contribution pension plan under the uncertainty theory. (Chinese. English summary) Zbl 1413.91039 Math. Pract. Theory 48, No. 4, 97-106 (2018). MSC: 91B30 90C39 PDF BibTeX XML Cite \textit{J. Gao} and \textit{Y. Wu}, Math. Pract. Theory 48, No. 4, 97--106 (2018; Zbl 1413.91039) OpenURL
Gao, Jianwei; Wu, Yungao Optimal pension investment strategy problem with uncertain jump-diffusion process. (Chinese. English summary) Zbl 1413.91038 J. Inn. Mong. Norm. Univ., Nat. Sci. 47, No. 2, 108-113 (2018). MSC: 91B30 60J75 PDF BibTeX XML Cite \textit{J. Gao} and \textit{Y. Wu}, J. Inn. Mong. Norm. Univ., Nat. Sci. 47, No. 2, 108--113 (2018; Zbl 1413.91038) Full Text: DOI OpenURL
Gu, Ailing; Viens, Frederi G.; Yao, Haixiang Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing. (English) Zbl 1402.91196 Insur. Math. Econ. 80, 93-109 (2018). MSC: 91B30 90C39 91G10 93E20 PDF BibTeX XML Cite \textit{A. Gu} et al., Insur. Math. Econ. 80, 93--109 (2018; Zbl 1402.91196) Full Text: DOI OpenURL
Kelbert, M.; Stuhl, I.; Suhov, Y. Weighted entropy and optimal portfolios for risk-averse Kelly investments. (English) Zbl 1442.91087 Aequationes Math. 92, No. 1, 165-200 (2018). MSC: 91G10 60A10 PDF BibTeX XML Cite \textit{M. Kelbert} et al., Aequationes Math. 92, No. 1, 165--200 (2018; Zbl 1442.91087) Full Text: DOI arXiv OpenURL
Lagziel, David; Lehrer, Ehud Reward schemes. (English) Zbl 1393.91106 Games Econ. Behav. 107, 21-40 (2018). MSC: 91B40 PDF BibTeX XML Cite \textit{D. Lagziel} and \textit{E. Lehrer}, Games Econ. Behav. 107, 21--40 (2018; Zbl 1393.91106) Full Text: DOI OpenURL
van Schalkwyk, Garth J.; Witbooi, Peter J. A model for bank reserves versus treasuries under Basel III. (English) Zbl 1420.91557 Appl. Stoch. Models Bus. Ind. 33, No. 2, 237-247 (2017). MSC: 91G99 60J75 60G51 93E20 PDF BibTeX XML Cite \textit{G. J. van Schalkwyk} and \textit{P. J. Witbooi}, Appl. Stoch. Models Bus. Ind. 33, No. 2, 237--247 (2017; Zbl 1420.91557) Full Text: DOI OpenURL
Pan, Jian; Xiao, Qingxian Optimal dynamic asset-liability management with stochastic interest rates and inflation risks. (English) Zbl 1376.91152 Chaos Solitons Fractals 103, 460-469 (2017). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{J. Pan} and \textit{Q. Xiao}, Chaos Solitons Fractals 103, 460--469 (2017; Zbl 1376.91152) Full Text: DOI OpenURL
Kim, Jai Heui; Veng, Sotheara Practical investment strategies under a multi-scale Heston’s stochastic volatility model. (English) Zbl 1376.91151 East Asian Math. J. 33, No. 1, 23-36 (2017). MSC: 91G10 91B70 93E20 PDF BibTeX XML Cite \textit{J. H. Kim} and \textit{S. Veng}, East Asian Math. J. 33, No. 1, 23--36 (2017; Zbl 1376.91151) Full Text: DOI OpenURL
Liang, Xiaoqing; Bai, Lihua Minimizing expected time to reach a given capital level before ruin. (English) Zbl 1373.93381 J. Ind. Manag. Optim. 13, No. 4, 1771-1791 (2017). MSC: 93E20 91B30 91B70 91G80 PDF BibTeX XML Cite \textit{X. Liang} and \textit{L. Bai}, J. Ind. Manag. Optim. 13, No. 4, 1771--1791 (2017; Zbl 1373.93381) Full Text: DOI OpenURL
Robertson, Scott; Xing, Hao Long-term optimal investment in matrix valued factor models. (English) Zbl 1367.91169 SIAM J. Financ. Math. 8, 400-434 (2017). Reviewer: Aleksandr D. Borisenko (Kyïv) MSC: 91G10 60J60 60H30 49J20 35K58 35R60 PDF BibTeX XML Cite \textit{S. Robertson} and \textit{H. Xing}, SIAM J. Financ. Math. 8, 400--434 (2017; Zbl 1367.91169) Full Text: DOI arXiv OpenURL
Li, Danping; Li, Dongchen; Young, Virginia R. Optimality of excess-loss reinsurance under a mean-variance criterion. (English) Zbl 1394.91222 Insur. Math. Econ. 75, 82-89 (2017). MSC: 91B30 60G51 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., Insur. Math. Econ. 75, 82--89 (2017; Zbl 1394.91222) Full Text: DOI arXiv OpenURL
Yao, Haixiang; Li, Zhongfei; Li, Xun; Zeng, Yan Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset. (English) Zbl 1361.90047 J. Ind. Manag. Optim. 13, No. 3, 1273-1290 (2017). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{H. Yao} et al., J. Ind. Manag. Optim. 13, No. 3, 1273--1290 (2017; Zbl 1361.90047) Full Text: DOI OpenURL
Pan, Jian; Xiao, Qingxian Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework. (English) Zbl 1382.91087 J. Comput. Appl. Math. 317, 371-387 (2017). MSC: 91G10 60H30 PDF BibTeX XML Cite \textit{J. Pan} and \textit{Q. Xiao}, J. Comput. Appl. Math. 317, 371--387 (2017; Zbl 1382.91087) Full Text: DOI OpenURL
Gu, Ailing; Viens, Frederi G.; Yi, Bo Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity. (English) Zbl 1394.91216 Insur. Math. Econ. 72, 235-249 (2017). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{A. Gu} et al., Insur. Math. Econ. 72, 235--249 (2017; Zbl 1394.91216) Full Text: DOI OpenURL
Moore, Kristen S.; Young, Virginia R. Minimizing the probability of lifetime ruin when shocks might occur: perturbation analysis. (English) Zbl 1414.91349 N. Am. Actuar. J. 20, No. 1, 17-36 (2016). MSC: 91G10 91B30 PDF BibTeX XML Cite \textit{K. S. Moore} and \textit{V. R. Young}, N. Am. Actuar. J. 20, No. 1, 17--36 (2016; Zbl 1414.91349) Full Text: DOI OpenURL
Zhu, Huiming; Huang, Ya; Zhou, Jieming; Yang, Xiangqun; Deng, Chao Optimal proportional reinsurance and investment problem with constraints on risk control in a general jump-diffusion financial market. (English) Zbl 1376.91101 ANZIAM J. 57, No. 3, 352-368 (2016). MSC: 91B30 60J75 PDF BibTeX XML Cite \textit{H. Zhu} et al., ANZIAM J. 57, No. 3, 352--368 (2016; Zbl 1376.91101) Full Text: DOI OpenURL
Gu, Ailing; Li, Zhongfei Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function. (English) Zbl 1369.91086 J. Syst. Sci. Complex. 29, No. 6, 1658-1682 (2016). MSC: 91B30 60J75 91G10 PDF BibTeX XML Cite \textit{A. Gu} and \textit{Z. Li}, J. Syst. Sci. Complex. 29, No. 6, 1658--1682 (2016; Zbl 1369.91086) Full Text: DOI OpenURL
Chang, Hao; Wang, Chunfeng; Fang, Zhenming Defined contribution pension fund scheme with HARA preference under inflation risk. (Chinese. English summary) Zbl 1374.91033 Oper. Res. Trans. 20, No. 4, 39-51 (2016). MSC: 91B30 91G10 60J70 PDF BibTeX XML Cite \textit{H. Chang} et al., Oper. Res. Trans. 20, No. 4, 39--51 (2016; Zbl 1374.91033) Full Text: DOI OpenURL
Wu, Jie; Chen, Chuanzhong The research on dividend strategy with investment in the Omega model. (Chinese. English summary) Zbl 1374.91057 Chin. J. Appl. Probab. Stat. 32, No. 5, 530-540 (2016). MSC: 91B30 91G10 PDF BibTeX XML Cite \textit{J. Wu} and \textit{C. Chen}, Chin. J. Appl. Probab. Stat. 32, No. 5, 530--540 (2016; Zbl 1374.91057) Full Text: DOI OpenURL
Zhao, Qian; Wang, Rongming; Wei, Jiaqin Exponential utility maximization for an insurer with time-inconsistent preferences. (English) Zbl 1371.91174 Insur. Math. Econ. 70, 89-104 (2016). MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{Q. Zhao} et al., Insur. Math. Econ. 70, 89--104 (2016; Zbl 1371.91174) Full Text: DOI OpenURL
Hobson, David; Zhu, Yeqi Optimal consumption and sale strategies for a risk averse agent. (English) Zbl 1350.91014 SIAM J. Financ. Math. 7, 674-719 (2016). Reviewer: Yuliya S. Mishura (Kyïv) MSC: 91G10 93E20 60J55 60J60 PDF BibTeX XML Cite \textit{D. Hobson} and \textit{Y. Zhu}, SIAM J. Financ. Math. 7, 674--719 (2016; Zbl 1350.91014) Full Text: DOI arXiv Link OpenURL
Alia, Ishak; Chighoub, Farid; Sohail, Ayesha A characterization of equilibrium strategies in continuous-time mean-variance problems for insurers. (English) Zbl 1369.91074 Insur. Math. Econ. 68, 212-223 (2016). MSC: 91B30 93E20 91G10 60H30 PDF BibTeX XML Cite \textit{I. Alia} et al., Insur. Math. Econ. 68, 212--223 (2016; Zbl 1369.91074) 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
Zeng, Yan; Li, Danping; Gu, Ailing Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. (English) Zbl 1348.91192 Insur. Math. Econ. 66, 138-152 (2016). MSC: 91B30 91G10 91A80 93E20 PDF BibTeX XML Cite \textit{Y. Zeng} et al., Insur. Math. Econ. 66, 138--152 (2016; Zbl 1348.91192) Full Text: DOI OpenURL
Li, Danping; Rong, Ximin; Zhao, Hui Stochastic differential game formulation on the reinsurance and investment problem. (English) Zbl 1411.91297 Int. J. Control 88, No. 9, 1861-1877 (2015). MSC: 91B30 91A15 49N70 93E20 60H10 91G60 PDF BibTeX XML Cite \textit{D. Li} et al., Int. J. Control 88, No. 9, 1861--1877 (2015; Zbl 1411.91297) Full Text: DOI OpenURL
Liang, Zongxia; Song, Min Time-consistent reinsurance and investment strategies for mean-variance insurer under partial information. (English) Zbl 1348.91168 Insur. Math. Econ. 65, 66-76 (2015). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{Z. Liang} and \textit{M. Song}, Insur. Math. Econ. 65, 66--76 (2015; Zbl 1348.91168) Full Text: DOI OpenURL
Wu, Huiling; Zeng, Yan Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-variance criterion and mortality risk. (English) Zbl 1348.91262 Insur. Math. Econ. 64, 396-408 (2015). MSC: 91G10 91B30 93E20 PDF BibTeX XML Cite \textit{H. Wu} and \textit{Y. Zeng}, Insur. Math. Econ. 64, 396--408 (2015; Zbl 1348.91262) 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
Jin, Zhuo; Stockbridge, Rebecca; Yin, George Some recent progress on numerical methods for controlled regime-switching models with applications to insurance and risk management. (English) Zbl 1349.91308 Comput. Methods Appl. Math. 15, No. 3, 331-351 (2015). MSC: 91G60 91B30 93E20 60H35 65C05 65C40 93B40 PDF BibTeX XML Cite \textit{Z. Jin} et al., Comput. Methods Appl. Math. 15, No. 3, 331--351 (2015; Zbl 1349.91308) Full Text: DOI OpenURL
Li, Danping; Rong, Ximin; Zhao, Hui Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model. (English) Zbl 1308.91088 J. Comput. Appl. Math. 283, 142-162 (2015). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{D. Li} et al., J. Comput. Appl. Math. 283, 142--162 (2015; Zbl 1308.91088) Full Text: DOI OpenURL
Aivaliotis, Georgios; Palczewski, Jan Investment strategies and compensation of a mean-variance optimizing fund manager. (English) Zbl 1304.91175 Eur. J. Oper. Res. 234, No. 2, 561-570 (2014). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{G. Aivaliotis} and \textit{J. Palczewski}, Eur. J. Oper. Res. 234, No. 2, 561--570 (2014; Zbl 1304.91175) Full Text: DOI OpenURL
Shi, Xueqin; Fei, Weiyin; Hu, Huimin; Bao, Pinjuan On optimal investment strategy of pension funds with a minimum guarantee under Knightian uncertainty. (Chinese. English summary) Zbl 1313.91155 J. Univ. Sci. Technol. China 44, No. 3, 188-193, 226 (2014). MSC: 91G10 91G80 93E20 PDF BibTeX XML Cite \textit{X. Shi} et al., J. Univ. Sci. Technol. China 44, No. 3, 188--193, 226 (2014; Zbl 1313.91155) Full Text: DOI OpenURL
Guan, Guohui; Liang, Zongxia Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. (English) Zbl 1296.91155 Insur. Math. Econ. 55, 105-115 (2014). MSC: 91B30 91B70 91G10 93E20 PDF BibTeX XML Cite \textit{G. Guan} and \textit{Z. Liang}, Insur. Math. Econ. 55, 105--115 (2014; Zbl 1296.91155) Full Text: DOI OpenURL
Bi, Junna; Meng, Qingbin; Zhang, Yongji Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer. (English) Zbl 1291.91092 Ann. Oper. Res. 212, 43-59 (2014). MSC: 91B30 91G10 93E20 PDF BibTeX XML Cite \textit{J. Bi} et al., Ann. Oper. Res. 212, 43--59 (2014; Zbl 1291.91092) Full Text: DOI OpenURL
Jin, Zhuo; Yang, Hailiang; Yin, Gang George Numerical methods for optimal dividend payment and investment strategies of regime-switching jump diffusion models with capital injections. (English) Zbl 1364.93863 Automatica 49, No. 8, 2317-2329 (2013). MSC: 93E20 91G10 60J10 60J75 93C10 49J40 PDF BibTeX XML Cite \textit{Z. Jin} et al., Automatica 49, No. 8, 2317--2329 (2013; Zbl 1364.93863) Full Text: DOI Link OpenURL
Meng, Xiangbo; Zhang, Lidong; Du, Ziping; Ye, Peng Investment strategy for insurers under mean-variance criterion without terminal constraint. (Chinese. English summary) Zbl 1313.91075 Acta Sci. Nat. Univ. Nankaiensis 46, No. 6, 81-85 (2013). MSC: 91B30 91G10 62P05 60J75 90C15 90C39 PDF BibTeX XML Cite \textit{X. Meng} et al., Acta Sci. Nat. Univ. Nankaiensis 46, No. 6, 81--85 (2013; Zbl 1313.91075) OpenURL
Gu, Ailing; Li, Zhongfei; Shen, Shuguang Optimal investment strategies for an insurer under mean-variance in a dependent risk model. (Chinese. English summary) Zbl 1299.91118 Acta Sci. Nat. Univ. Sunyatseni 52, No. 5, 57-63, 67 (2013). MSC: 91G10 91B30 62P05 60G51 90C90 PDF BibTeX XML Cite \textit{A. Gu} et al., Acta Sci. Nat. Univ. Sunyatseni 52, No. 5, 57--63, 67 (2013; Zbl 1299.91118) OpenURL
Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model. (English) Zbl 1290.91103 Insur. Math. Econ. 53, No. 3, 601-614 (2013). MSC: 91B30 91B70 91G30 60J65 90C15 PDF BibTeX XML Cite \textit{B. Yi} et al., Insur. Math. Econ. 53, No. 3, 601--614 (2013; Zbl 1290.91103) Full Text: DOI Link OpenURL
Gu, Ailing; Li, Zhongfei; Zeng, Yan An optimal investment strategy under Ornstein-Uhlenbeck model for a DC pension plan. (Chinese. English summary) Zbl 1299.91119 Acta Math. Appl. Sin. 36, No. 4, 715-726 (2013). MSC: 91G10 93E20 PDF BibTeX XML Cite \textit{A. Gu} et al., Acta Math. Appl. Sin. 36, No. 4, 715--726 (2013; Zbl 1299.91119) OpenURL
Yao, Dingjun; Qian, Linyi; Cheng, Gongpin An optimal investment strategy in a Markov-modulated risk model: maximizing the terminal utility. (English) Zbl 1289.91098 Chin. J. Appl. Probab. Stat. 29, No. 3, 317-329 (2013). MSC: 91B30 91G10 62P05 91B16 PDF BibTeX XML Cite \textit{D. Yao} et al., Chin. J. Appl. Probab. Stat. 29, No. 3, 317--329 (2013; Zbl 1289.91098) OpenURL
Jin, Zhuo; Yin, G. Numerical methods for optimal dividend payment and investment strategies of Markov-modulated jump diffusion models with regular and singular controls. (English) Zbl 1276.49022 J. Optim. Theory Appl. 159, No. 1, 246-271 (2013). MSC: 49M30 49L20 49J40 93E20 60J60 60J75 91G60 91G80 PDF BibTeX XML Cite \textit{Z. Jin} and \textit{G. Yin}, J. Optim. Theory Appl. 159, No. 1, 246--271 (2013; Zbl 1276.49022) Full Text: DOI OpenURL
Zeng, Yan; Li, Zhongfei Optimal reinsurance-investment strategies for insurers under mean-car criteria. (English) Zbl 1292.91099 J. Ind. Manag. Optim. 8, No. 3, 673-690 (2012). MSC: 91B30 91G70 90C90 93E20 PDF BibTeX XML Cite \textit{Y. Zeng} and \textit{Z. Li}, J. Ind. Manag. Optim. 8, No. 3, 673--690 (2012; Zbl 1292.91099) 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
Ye, Jun; Li, Tiantian The optimal mean-variance investment strategy under value-at-risk constraints. (English) Zbl 1284.91535 Insur. Math. Econ. 51, No. 2, 344-351 (2012). MSC: 91G10 PDF BibTeX XML Cite \textit{J. Ye} and \textit{T. Li}, Insur. Math. Econ. 51, No. 2, 344--351 (2012; Zbl 1284.91535) Full Text: DOI arXiv OpenURL
Li, Zhongfei; Zeng, Yan; Lai, Yongzeng Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. (English) Zbl 1284.91250 Insur. Math. Econ. 51, No. 1, 191-203 (2012). MSC: 91B30 91G10 91B70 60H30 93E20 PDF BibTeX XML Cite \textit{Z. Li} et al., Insur. Math. Econ. 51, No. 1, 191--203 (2012; Zbl 1284.91250) Full Text: DOI OpenURL
Azcue, Pablo; Muler, Nora Optimal dividend policies for compound Poisson processes: the case of bounded dividend rates. (English) Zbl 1284.91201 Insur. Math. Econ. 51, No. 1, 26-42 (2012). MSC: 91B30 PDF BibTeX XML Cite \textit{P. Azcue} and \textit{N. Muler}, Insur. Math. Econ. 51, No. 1, 26--42 (2012; Zbl 1284.91201) Full Text: DOI OpenURL
Kang, Zhilin; Zeng, Yan Optimal portfolio strategy under minimax criterion with constraints. (Chinese. English summary) Zbl 1274.91386 J. Syst. Eng. 27, No. 5, 656-667 (2012). MSC: 91G10 90C47 PDF BibTeX XML Cite \textit{Z. Kang} and \textit{Y. Zeng}, J. Syst. Eng. 27, No. 5, 656--667 (2012; Zbl 1274.91386) OpenURL
Chang, Hao; Rong, Ximin Utility portfolio selection with different interest rates for borrowing and lending. (Chinese. English summary) Zbl 1265.91143 J. Syst. Eng. 27, No. 1, 26-34 (2012). MSC: 91G10 91B16 90C39 PDF BibTeX XML Cite \textit{H. Chang} and \textit{X. Rong}, J. Syst. Eng. 27, No. 1, 26--34 (2012; Zbl 1265.91143) OpenURL
Yusong, Cao; Xianquan, Zeng Optimal proportional reinsurance and investment with minimum probability of ruin. (English) Zbl 1242.91099 Appl. Math. Comput. 218, No. 9, 5433-5438 (2012). Reviewer: Pavel Stoynov (Sofia) MSC: 91B30 60J70 97M30 91G80 PDF BibTeX XML Cite \textit{C. Yusong} and \textit{Z. Xianquan}, Appl. Math. Comput. 218, No. 9, 5433--5438 (2012; Zbl 1242.91099) Full Text: DOI OpenURL
Zhou, Qing Two-agent Pareto optimal cooperative investment in incomplete market: an equivalent characterization. (English) Zbl 1255.93155 J. Syst. Sci. Complex. 24, No. 4, 701-710 (2011). MSC: 93E20 93C41 91G10 PDF BibTeX XML Cite \textit{Q. Zhou}, J. Syst. Sci. Complex. 24, No. 4, 701--710 (2011; Zbl 1255.93155) Full Text: DOI OpenURL
Wang, Chunwei; Yin, Chuancun The optimal dividend strategy in the perturbed compound Poisson risk model with investment. (Chinese. English summary) Zbl 1265.91098 Acta Math. Sci., Ser. A, Chin. Ed. 31, No. 6, 1567-1578 (2011). MSC: 91B30 49L25 60J65 62P05 PDF BibTeX XML Cite \textit{C. Wang} and \textit{C. Yin}, Acta Math. Sci., Ser. A, Chin. Ed. 31, No. 6, 1567--1578 (2011; Zbl 1265.91098) OpenURL
Yuan, Jun; Yang, Cheng Global-asset portfolio decision optimization with random parameters in the framework of LQ theory. (Chinese. English summary) Zbl 1249.91126 J. Syst. Sci. Math. Sci. 31, No. 4, 440-447 (2011). MSC: 91G10 91B06 PDF BibTeX XML Cite \textit{J. Yuan} and \textit{C. Yang}, J. Syst. Sci. Math. Sci. 31, No. 4, 440--447 (2011; Zbl 1249.91126) OpenURL
Bensoussan, Alain; Diltz, J. David; Hoe, Singru (Celine) Real options and competition. (English) Zbl 1236.91140 Tsoi, Allanus (ed.) et al., Stochastic analysis, stochastic systems, and applications to finance. Papers based on the presentations at the 1st Kansas-Missouri winter school of applied probability, Colombia, MO, USA, February 14–15, 2008. Hackensack, NJ: World Scientific (ISBN 978-981-4355-70-4/hbk; 978-981-4355-71-1/ebook). 63-100 (2011). Reviewer: Weiping Li (Stillwater) MSC: 91G50 91A65 91A23 PDF BibTeX XML Cite \textit{A. Bensoussan} et al., in: Stochastic analysis, stochastic systems, and applications to finance. Papers based on the presentations at the 1st Kansas-Missouri winter school of applied probability, Colombia, MO, USA, February 14--15, 2008. Hackensack, NJ: World Scientific. 63--100 (2011; Zbl 1236.91140) Full Text: Link OpenURL
Broom, Mark; Higginson, Andrew D.; Ruxton, Graeme D. Optimal investment across different aspects of anti-predator defences. (English) Zbl 1406.92417 J. Theor. Biol. 263, No. 4, 579-586 (2010). MSC: 92D15 92D50 PDF BibTeX XML Cite \textit{M. Broom} et al., J. Theor. Biol. 263, No. 4, 579--586 (2010; Zbl 1406.92417) Full Text: DOI HAL OpenURL
Seifried, Frank Thomas Optimal investment for worst-case crash scenarios: a martingale approach. (English) Zbl 1284.91531 Math. Oper. Res. 35, No. 3, 559-579 (2010). MSC: 91G10 91A15 91G80 93E20 PDF BibTeX XML Cite \textit{F. T. Seifried}, Math. Oper. Res. 35, No. 3, 559--579 (2010; Zbl 1284.91531) Full Text: DOI OpenURL
Wei, Shuzhi Risk sensitive dynamic asset management with defaultable asset. (Chinese. English summary) Zbl 1224.91145 Math. Pract. Theory 40, No. 3, 13-18 (2010). MSC: 91G10 91G40 91G80 PDF BibTeX XML Cite \textit{S. Wei}, Math. Pract. Theory 40, No. 3, 13--18 (2010; Zbl 1224.91145) OpenURL
Bensoussan, Alain; Diltz, J. David; Hoe, SingRu Real options games in complete and incomplete markets with several decision makers. (English) Zbl 1203.91319 SIAM J. Financ. Math. 1, 666-728 (2010). Reviewer: Tamás Mátrai (Budapest) MSC: 91G50 91A65 60G40 62L15 91A60 PDF BibTeX XML Cite \textit{A. Bensoussan} et al., SIAM J. Financ. Math. 1, 666--728 (2010; Zbl 1203.91319) Full Text: DOI OpenURL