Optimal reinsurance and investment problem for an insurer with counterparty risk
Authors:
- Huiming ZhuHZHuiming Zhu
- Chao DengCDChao Deng
- Shengjie YueSYShengjie Yue
- Yingchun DengYDYingchun Deng
- 1 March 2015
- journal article
- Published by Elsevier in Insurance: Mathematics and Economics
- Vol. 61, 242-254
Abstract
No abstract availableKeywords
Funding Information
- National Natural Science Foundation of China (71171075, 71221001, 71031004, 71431008)
This publication has 31 references indexed in Scilit:
- Optimal proportional reinsurance and investment under partial informationInsurance: Mathematics and Economics, 2013
- An HMM approach for optimal investment of an insurerInternational Journal of Robust and Nonlinear Control, 2011
- A stochastic differential game for optimal investment of an insurer with regime switchingQuantitative Finance, 2011
- Optimal investment with counterparty risk: a default-density model approachFinance and Stochastics, 2010
- An optimal portfolio problem in a defaultable marketAdvances in Applied Probability, 2010
- Portfolio optimization with a defaultable securityAsia-Pacific Financial Markets, 2006
- The dynamics of stochastic volatility: evidence from underlying and options marketsJournal of Econometrics, 2003
- Modeling Term Structures of Defaultable BondsThe Review of Financial Studies, 1999
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency OptionsThe Review of Financial Studies, 1993
- Stock Price Distributions with Stochastic Volatility: An Analytic ApproachThe Review of Financial Studies, 1991