Optimal reinsurance and investment problem with default risk and bounded memory

References

• A, C., & Li, Z. (2015). Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model. Insurance: Mathematics and Economics, 61, 181–196.
   Web of Science ®Google Scholar
• Bielecki, T., & Jang, I (2006). Portfolio optimisation with a defaultable security. Asia-Pacific Financial Markets, 13, 113–127.
   Google Scholar
• Browne, S (1995). Optimal investment policies for a firm with a random risk process: Exponential utility and minimising the probability of ruin. Mathematics of Operations Research, 20, 937–958.
   Web of Science ®Google Scholar
• Chang, M., Pang, T., & Yang, Y. (2011). A stochastic portfolio optimisation model with bounded memory. Mathematics of Operations Research, 36, 604–619.
   Web of Science ®Google Scholar
• Deng, C., Zeng, X., & Zhu, H. (2018). Non-zero-sum stochastic differential reinsurance and investment games with default risk. European Journal of Operational Research, 264, 1144–1158.
   Web of Science ®Google Scholar
• Elsanosi, I. (2000). Some solvable stochastic control problems with delay. Stochastics-an International Journal of Probability and Stochastic Processes, 71, 69–89.
   Google Scholar
• Federico, S. (2011). A stochastic control problem with delay arising in a pension fund model. Finance and Stochastics, 15, 421–459.
   Web of Science ®Google Scholar
• Fleming, W., & Soner, H. (2006). Controlled Markov processes and viscosity solutions (vol. 25). Springer Science and Business Media.
   Google Scholar
• Gu, A., Guo, X., Li, Z., & Zeng, Y. (2012). Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Insurance Mathematics and Economics, 51, 674–684.
   Web of Science ®Google Scholar
• Hipp, C., & Plum, M. (2000). Optimal investment for insurers. Insurance Mathematics and Economics, 27, 215–228.
   Web of Science ®Google Scholar
• Hou, Y. (2002). Integrating market risk and credit risk: A dynamic asset allocation perspective. SSRN Electronic Journal.
   Google Scholar
• Huang, Y., Ouyang, Y., Tang, L., & Zhou, J. (2018). Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities. Journal of Computational and Applied Mathematics, 344, 532–552.
   Web of Science ®Google Scholar
• Huang, Y., Yang, X., & Zhou, J. (2016). Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables. Journal of Computational and Applied Mathematics, 296, 443–461.
   Web of Science ®Google Scholar
• Huang, Y., Yang, X., & Zhou, J. (2017). Robust optimal investment and reinsurance problem for a general insurance company under Heston model. Mathematical Methods of Operations Research, 85, 1–22.
   Web of Science ®Google Scholar
• Korn, R., & Kraft, H. (2003). Optimal portfolios with defaultable securities-A firm value approach. International Journal of Theoretical and Applied Finance., 4, 793–819.
   Google Scholar
• Lakner, P., & Liang, W. (2008). Optimal investment in a defaultable bond. Mathematics and Financial Economics, 1, 283–310.
   Web of Science ®Google Scholar
• Li, J., & Liu, H. (2015). Optimal investment for the insurers in markov-modulated jump-diffusion models. Computational Economics, 46, 143–156.
   Web of Science ®Google Scholar
• Liang, Z., Yuen, K. C., & Guo, J. (2011). Optimal proportional reinsurance and investment in a stock market with Ornstein-CUhlenbeck process. Insurance Mathematics and Economics, 49, 207–215.
   Web of Science ®Google Scholar
• Merton, R. C. (1974). On the pricing of corporate debt: The risk structure of interest rates. Journal of Finance, 29, 449–470.
   Web of Science ®Google Scholar
• Pang, T., & Hussain, A. (2015). An application of functional ito's formula to stochastic portfolio optimisation with bounded memory. Proceedings of the Conference on Control and its Applications SIAM, 2015, 159–166.
   Google Scholar
• Shen, Y., & Zeng, Y. (2014). Optimal investment-reinsurance with delay for mean-variance insurers: A maximum principle approach. Insurance: Mathematics and Economics, 57, 1–12.
   Web of Science ®Google Scholar
• Yang, X., Liang, Z., & Zhang, C. (2017). Optimal mean-variance reinsurance with delay and multiple classes of dependent risks (in Chinese). Scientia Sinica Mathematica, 47, 723–756.
   Google Scholar
• Zeng, X., & Taksar, M. (2013). A stochastic volatility model and optimal portfolio selection. Quantitative Finance, 13, 1547–1558.
   Web of Science ®Google Scholar
• Zhao, H., Shen, Y., & Zeng, Y. (2016). Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security. Journal of Mathematical Analysis and Applications, 437, 1036–1057.
   Web of Science ®Google Scholar
• Zheng, X., Zhou, J., & Sun, Z. (2016). Robust optimal portfolio and proportional rein- surance for an insurer under a CEV model. Insurance Mathematics and Economics, 67, 77–87.
   Web of Science ®Google Scholar
• Zhou, J., Yang, X., & Huang, Y. (2017). Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer. Communication in Statistics- Theory and Methods, 46, 10733–10757.
   Web of Science ®Google Scholar
• Zhu, H., Deng, C., Yue, S., & Deng, Y. (2015). Optimal reinsurance and investment problem for an insurer with counterparty risk. Insurance: Mathematics and Economics, 61, 242–254.
   Web of Science ®Google Scholar