位置：成果数据库 > 期刊 > 期刊详情页
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic
  • ISSN号：0167-6687
  • 期刊名称：Insurance: Mathematics and Economics
  • 时间：2013.11
  • 页码：601-614
  • 相关项目：保险公司时间不一致性决策模型与均衡策略研究
作者： Yi, Bo|Li, Zhongfei|Viens, Frederi G.|Zeng, Yan|
同期刊论文项目
保险公司时间不一致性决策模型与均衡策略研究
期刊论文 26
同项目期刊论文
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-va
Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps
Equilibrium dividend Strategy withnon-exponential discounting in a dual model
Optimal investment reinsurance strategy for mean-variance insurers with square-root factor process
Multi-period mean-variance asset-liability management with uncontrolled cash flow and uncertain time
隐Makrov机制转移与随机时间水平下的多期资产配置
Optimal investment-reinsurance with delay for mean-variance insurers: A maximum principle approach
Optimal dividend strategies with time-inconsistent preferences
Multi-period Markowitz's mean-variance portfolio selection with state-dependent exit probabilit
Optimal investment and consumption strategies with state-dependent utility functions and uncertain t
Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
Optimal portfolio selection in a Levy market with uncontrolled cash flow and only risky assets
随机波动率市场存在股票误价时的最优投资策略
Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
Continuous time mean-variance portfolio optimization with piecewise state-dependent risk aversion
基于CRRA效用准则的资产负债管理
Equilibrium investment strategy for defined-contribution pension schemes with generalized mean-varia
不确定终止时间和通货膨胀影响下风险资产的最优投资策略
基于均值-AS模型的资产配置
保险公司在风险相依模型中均值-方差准则下的最优投资策略
带比例及固定费用的对偶模型分红策略
基于价格调整的长寿风险自然对冲策略
基于异质性投资者的动态情绪资产定价
Minimax准则下带约束的最优投资组合策略