Matches in SemOpenAlex for { <https://semopenalex.org/work/W2299522835> ?p ?o ?g. }
Showing items 1 to 91 of
91
with 100 items per page.
- W2299522835 endingPage "132" @default.
- W2299522835 startingPage "125" @default.
- W2299522835 abstract "Abstract This paper analyzes the optimal investment and reinsurance strategies for insurers with a generalized mean–variance premium principle. The surplus process of the insurer is described by the diffusion model which is an approximation of the classical Cramer–Lundberg model. The insurer can purchase reinsurance and invest her surplus in a financial market consisting of a risk-free asset and multiple risky assets. The insurer is not allowed to short sell the risky assets. Two optimization problems, maximizing the expected utility function of terminal wealth and minimizing the probability of ruin, are considered. We first derive the form of optimal reinsurance for the two optimization problems. Then, by using the stochastic dynamic programming, we obtain the closed-form expressions of optimal investment and reinsurance strategies and optimal value functions for the two optimization problems. We find that our results are more general than some ones in the existing literature." @default.
- W2299522835 created "2016-06-24" @default.
- W2299522835 creator A5000447919 @default.
- W2299522835 creator A5051020416 @default.
- W2299522835 creator A5067866947 @default.
- W2299522835 date "2016-03-01" @default.
- W2299522835 modified "2023-10-17" @default.
- W2299522835 title "Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling" @default.
- W2299522835 cites W1969952045 @default.
- W2299522835 cites W1970006655 @default.
- W2299522835 cites W1978721202 @default.
- W2299522835 cites W1990875175 @default.
- W2299522835 cites W2017885867 @default.
- W2299522835 cites W2025582260 @default.
- W2299522835 cites W2027895939 @default.
- W2299522835 cites W2030371238 @default.
- W2299522835 cites W2030862733 @default.
- W2299522835 cites W2034085084 @default.
- W2299522835 cites W2037007317 @default.
- W2299522835 cites W2044591253 @default.
- W2299522835 cites W2047892240 @default.
- W2299522835 cites W2080914628 @default.
- W2299522835 cites W2082109384 @default.
- W2299522835 cites W2087520527 @default.
- W2299522835 cites W2090697813 @default.
- W2299522835 cites W2118573305 @default.
- W2299522835 cites W2178320768 @default.
- W2299522835 cites W2394706890 @default.
- W2299522835 cites W4249389286 @default.
- W2299522835 doi "https://doi.org/10.1016/j.insmatheco.2016.01.001" @default.
- W2299522835 hasPublicationYear "2016" @default.
- W2299522835 type Work @default.
- W2299522835 sameAs 2299522835 @default.
- W2299522835 citedByCount "45" @default.
- W2299522835 countsByYear W22995228352016 @default.
- W2299522835 countsByYear W22995228352017 @default.
- W2299522835 countsByYear W22995228352018 @default.
- W2299522835 countsByYear W22995228352019 @default.
- W2299522835 countsByYear W22995228352020 @default.
- W2299522835 countsByYear W22995228352021 @default.
- W2299522835 countsByYear W22995228352022 @default.
- W2299522835 countsByYear W22995228352023 @default.
- W2299522835 crossrefType "journal-article" @default.
- W2299522835 hasAuthorship W2299522835A5000447919 @default.
- W2299522835 hasAuthorship W2299522835A5051020416 @default.
- W2299522835 hasAuthorship W2299522835A5067866947 @default.
- W2299522835 hasConcept C121955636 @default.
- W2299522835 hasConcept C144133560 @default.
- W2299522835 hasConcept C149782125 @default.
- W2299522835 hasConcept C162118730 @default.
- W2299522835 hasConcept C162324750 @default.
- W2299522835 hasConcept C166970017 @default.
- W2299522835 hasConcept C17744445 @default.
- W2299522835 hasConcept C196083921 @default.
- W2299522835 hasConcept C199539241 @default.
- W2299522835 hasConcept C27548731 @default.
- W2299522835 hasConcept C33923547 @default.
- W2299522835 hasConcept C94625758 @default.
- W2299522835 hasConceptScore W2299522835C121955636 @default.
- W2299522835 hasConceptScore W2299522835C144133560 @default.
- W2299522835 hasConceptScore W2299522835C149782125 @default.
- W2299522835 hasConceptScore W2299522835C162118730 @default.
- W2299522835 hasConceptScore W2299522835C162324750 @default.
- W2299522835 hasConceptScore W2299522835C166970017 @default.
- W2299522835 hasConceptScore W2299522835C17744445 @default.
- W2299522835 hasConceptScore W2299522835C196083921 @default.
- W2299522835 hasConceptScore W2299522835C199539241 @default.
- W2299522835 hasConceptScore W2299522835C27548731 @default.
- W2299522835 hasConceptScore W2299522835C33923547 @default.
- W2299522835 hasConceptScore W2299522835C94625758 @default.
- W2299522835 hasFunder F4320321001 @default.
- W2299522835 hasLocation W22995228351 @default.
- W2299522835 hasOpenAccess W2299522835 @default.
- W2299522835 hasPrimaryLocation W22995228351 @default.
- W2299522835 hasRelatedWork W1567317610 @default.
- W2299522835 hasRelatedWork W1601631568 @default.
- W2299522835 hasRelatedWork W1987404879 @default.
- W2299522835 hasRelatedWork W2016938648 @default.
- W2299522835 hasRelatedWork W2021680246 @default.
- W2299522835 hasRelatedWork W2269746263 @default.
- W2299522835 hasRelatedWork W2359364825 @default.
- W2299522835 hasRelatedWork W2946801684 @default.
- W2299522835 hasRelatedWork W2974485920 @default.
- W2299522835 hasRelatedWork W3123045631 @default.
- W2299522835 hasVolume "67" @default.
- W2299522835 isParatext "false" @default.
- W2299522835 isRetracted "false" @default.
- W2299522835 magId "2299522835" @default.
- W2299522835 workType "article" @default.