FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W4313467513> ?p ?o ?g. }

• W4313467513 endingPage "26" @default.
• W4313467513 startingPage "1" @default.
• W4313467513 abstract "This paper studies the optimal reinsurance and investment problem with multiple risky assets and correlation risk. The claim process is described by a Brownian motion with drift. The insurer is allowed to invest in a risk-free asset and multiple risky assets and the instantaneous return rate of each risky asset follows the Ornstein-Uhlenbeck (O-U) model. Moreover, the correlation between risk model and the risky assets’ price is taken into account. We first consider the optimal investment problem for the insurer. Subsequently, we assume that the insurer can purchase proportional reinsurance and invest in the financial market. In both cases, the insurer’s objective is to maximize the expected exponential utility of the terminal wealth. By applying stochastic control approach, we derive the optimal reinsurance and investment strategies and the corresponding value functions explicitly. Finally, numerical simulations are presented to illustrate the effects of model parameters on the optimal reinsurance and investment strategies." @default.
• W4313467513 created "2023-01-06" @default.
• W4313467513 creator A5026106481 @default.
• W4313467513 creator A5029272099 @default.
• W4313467513 creator A5053876653 @default.
• W4313467513 date "2022-12-21" @default.
• W4313467513 modified "2023-09-27" @default.
• W4313467513 title "Optimal reinsurance and investment problem with multiple risky assets and correlation risk for an insurer under the Ornstein-Uhlenbeck model" @default.
• W4313467513 cites W1947002938 @default.
• W4313467513 cites W1966256898 @default.
• W4313467513 cites W1968457222 @default.
• W4313467513 cites W1970006655 @default.
• W4313467513 cites W1978721202 @default.
• W4313467513 cites W1980084898 @default.
• W4313467513 cites W1993881776 @default.
• W4313467513 cites W2023490476 @default.
• W4313467513 cites W2034085084 @default.
• W4313467513 cites W2047892240 @default.
• W4313467513 cites W2050477100 @default.
• W4313467513 cites W2068545243 @default.
• W4313467513 cites W2071292843 @default.
• W4313467513 cites W2087082606 @default.
• W4313467513 cites W2171169470 @default.
• W4313467513 cites W2171757380 @default.
• W4313467513 cites W2284869551 @default.
• W4313467513 cites W2319884488 @default.
• W4313467513 cites W2328933816 @default.
• W4313467513 cites W2905016558 @default.
• W4313467513 cites W3004607926 @default.
• W4313467513 cites W3125159626 @default.
• W4313467513 cites W407042200 @default.
• W4313467513 doi "https://doi.org/10.1080/03610926.2022.2148470" @default.
• W4313467513 hasPublicationYear "2022" @default.
• W4313467513 type Work @default.
• W4313467513 citedByCount "0" @default.
• W4313467513 crossrefType "journal-article" @default.
• W4313467513 hasAuthorship W4313467513A5026106481 @default.
• W4313467513 hasAuthorship W4313467513A5029272099 @default.
• W4313467513 hasAuthorship W4313467513A5053876653 @default.
• W4313467513 hasConcept C10138342 @default.
• W4313467513 hasConcept C101615488 @default.
• W4313467513 hasConcept C103144560 @default.
• W4313467513 hasConcept C105795698 @default.
• W4313467513 hasConcept C112401455 @default.
• W4313467513 hasConcept C126255220 @default.
• W4313467513 hasConcept C136264566 @default.
• W4313467513 hasConcept C149782125 @default.
• W4313467513 hasConcept C162118730 @default.
• W4313467513 hasConcept C162324750 @default.
• W4313467513 hasConcept C166970017 @default.
• W4313467513 hasConcept C170131372 @default.
• W4313467513 hasConcept C17744445 @default.
• W4313467513 hasConcept C183582576 @default.
• W4313467513 hasConcept C199539241 @default.
• W4313467513 hasConcept C27548731 @default.
• W4313467513 hasConcept C2778475510 @default.
• W4313467513 hasConcept C2780378061 @default.
• W4313467513 hasConcept C33923547 @default.
• W4313467513 hasConcept C38652104 @default.
• W4313467513 hasConcept C41008148 @default.
• W4313467513 hasConcept C68710425 @default.
• W4313467513 hasConcept C76178495 @default.
• W4313467513 hasConcept C91575142 @default.
• W4313467513 hasConcept C94625758 @default.
• W4313467513 hasConceptScore W4313467513C10138342 @default.
• W4313467513 hasConceptScore W4313467513C101615488 @default.
• W4313467513 hasConceptScore W4313467513C103144560 @default.
• W4313467513 hasConceptScore W4313467513C105795698 @default.
• W4313467513 hasConceptScore W4313467513C112401455 @default.
• W4313467513 hasConceptScore W4313467513C126255220 @default.
• W4313467513 hasConceptScore W4313467513C136264566 @default.
• W4313467513 hasConceptScore W4313467513C149782125 @default.
• W4313467513 hasConceptScore W4313467513C162118730 @default.
• W4313467513 hasConceptScore W4313467513C162324750 @default.
• W4313467513 hasConceptScore W4313467513C166970017 @default.
• W4313467513 hasConceptScore W4313467513C170131372 @default.
• W4313467513 hasConceptScore W4313467513C17744445 @default.
• W4313467513 hasConceptScore W4313467513C183582576 @default.
• W4313467513 hasConceptScore W4313467513C199539241 @default.
• W4313467513 hasConceptScore W4313467513C27548731 @default.
• W4313467513 hasConceptScore W4313467513C2778475510 @default.
• W4313467513 hasConceptScore W4313467513C2780378061 @default.
• W4313467513 hasConceptScore W4313467513C33923547 @default.
• W4313467513 hasConceptScore W4313467513C38652104 @default.
• W4313467513 hasConceptScore W4313467513C41008148 @default.
• W4313467513 hasConceptScore W4313467513C68710425 @default.
• W4313467513 hasConceptScore W4313467513C76178495 @default.
• W4313467513 hasConceptScore W4313467513C91575142 @default.
• W4313467513 hasConceptScore W4313467513C94625758 @default.
• W4313467513 hasFunder F4320321001 @default.
• W4313467513 hasLocation W43134675131 @default.
• W4313467513 hasOpenAccess W4313467513 @default.
• W4313467513 hasPrimaryLocation W43134675131 @default.
• W4313467513 hasRelatedWork W2063236625 @default.
• W4313467513 hasRelatedWork W2080617562 @default.
• W4313467513 hasRelatedWork W2082447955 @default.
• W4313467513 hasRelatedWork W2351258383 @default.
• W4313467513 hasRelatedWork W2367412533 @default.

• next