Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model

References

• Browne S. Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin. Math Oper Res. 1995;20(4):937–958.
   Web of Science ®Google Scholar
• Hipp C, Plum M. Optimal investment for insurers. Insurance Math Economics. 2000;27(2):215–228.
   Web of Science ®Google Scholar
• Schmidli H. On optimal investment and subexponential claims. Insurance Math Economics. 2005;36(1):25–35.
   Web of Science ®Google Scholar
• Chen S, Li Z, Li K. Optimal investment-reinsurance policy for an insurance company with VaR constraint. Insurance Math Economics. 2010;47(2):144–153.
   Web of Science ®Google Scholar
• Wang N. Optimal investment for an insurer with exponential utility preference. Insurance Math Economics. 2007;40(1):77–84.
   Web of Science ®Google Scholar
• Cao Y, Wan N. Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation. Insurance Math Economics. 2009;45(2):157–162.
   Web of Science ®Google Scholar
• Bai L, Guo J. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection. Sci China Math. 2010;53(7):1787–1804.
   Web of Science ®Google Scholar
• Bäuerle N, Blatter A. Optimal control and dependence modeling of insurance portfolios with lévy dynamics. Insurance Math Economics. 2011;48(3):398–405.
   Web of Science ®Google Scholar
• Gu A, Guo X, Li Z, et al. Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Insurance Math Economics. 2012;51(3):674–684.
   Web of Science ®Google Scholar
• Markowitz H. Portfolio selection. J Finance. 1952;7(1):77–91.
   Web of Science ®Google Scholar
• Li D, Ng W-L. Optimal dynamic portfolio selection: multiperiod mean-variance formulation. Math Finance. 2000;10(3):387–406.
   Web of Science ®Google Scholar
• Zhou XY, Li D. Continuous-time mean-variance portfolio selection: a stochastic LQ framework. Appl Math Optim. 2000;42(1):19–33.
   Web of Science ®Google Scholar
• Bäuerle N. Benchmark and mean-variance problems for insurers. Math Methods Oper Res. 2005;62(1):159–165.
   Web of Science ®Google Scholar
• Bai L, Zhang H. Dynamic mean-variance problem with constrained risk control for the insurers. Math Methods Oper Res. 2008;68(1):181–205.
   Web of Science ®Google Scholar
• Bi J, Guo J. Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer. J Optim Theory Appl. 2013;157(1):252–275.
   Web of Science ®Google Scholar
• Björk T, Khapko M, Murgoci A. On time-inconsistent stochastic control in continuous time. Finance Stoch. 2017;21(2):331–360.
   Web of Science ®Google Scholar
• Zeng Y, Li Z. Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Insurance Math Economics. 2011;49(1):145–154.
   Web of Science ®Google Scholar
• Li Z, Zeng Y, Lai Y. Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model. Insurance Math Economics. 2012;51(1):191–203.
   Web of Science ®Google Scholar
• Elsanosi I, Øksendal B, Sulem A. Some solvable stochastic control problems with delay. Stoch Stoch Rep. 2000;71(1-2):69–89.
   Google Scholar
• Øksendal B, Sulem A. A maximum principle for optimal control of stochastic systems with delay, with applications to finance. In: Optimal control and partial differential equations-innovations and applications. Amsterdam: IOSPress, 2001, 64–79.
   Google Scholar
• Chang MH, Pang T, Pemy M. Optimal control of stochastic functional differential equations with a bounded memory. Stochastics. 2008;80(1):69–96.
   Google Scholar
• Federico S, Goldys B, Gozzi F. HJB equations for the optimal control of differential equations with delays and state constraints, I: regularity of viscosity solutions. SIAM J Control Optim. 2010;48(8):4910–4937.
   Web of Science ®Google Scholar
• Savku E, Weber GW. A stochastic maximum principle for a markov regime-switching jump-diffusion model with delay and an application to finance. J Optim Theory Appl. 2018;179(2):696–721.
   Web of Science ®Google Scholar
• Chang MH, Pang T, Yang Y. A stochastic portfolio optimization model with bounded memory. Math Oper Res. 2011;36(4):604–619.
   Web of Science ®Google Scholar
• Federico S. A stochastic control problem with delay arising in a pension fund model. Finance Stoch. 2011;15(3):421–459.
   Web of Science ®Google Scholar
• Shen Y, Zeng Y. Optimal investment-reinsurance with delay for mean–variance insurers: a maximum principle approach. Insurance Math Economics. 2014;57:1–12.
   Web of Science ®Google Scholar
• Bai L, Cai J, Zhou M. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting. Insurance Math Economics. 2013;53(3):664–670.
   Web of Science ®Google Scholar
• Yuen KC, Liang Z, Zhou M. Optimal proportional reinsurance with common shock dependence. Insurance Math Economics. 2015;64:1–13.
   Web of Science ®Google Scholar
• Liang Z, Yuen KC. Optimal dynamic reinsurance with dependent risks: variance premium principle. Scand Actuar J. 2016;2016(1):18–36.
   Web of Science ®Google Scholar
• Ming Z, Liang Z, Zhang C. Optimal mean–variance reinsurance with common shock dependence. ANZIAM J. 2016;58(2):162–181.
   Web of Science ®Google Scholar
• Bi J, Liang Z, Xu F. Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence. Insurance Math Economics. 2016;70:245–258.
   Web of Science ®Google Scholar
• Bi J, Chen K. Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles. RAIRO-Oper Res. 2019;53(1):179–206.
   Web of Science ®Google Scholar