Optimal reinsurance and investment problem with multiple risky assets and correlation risk for an insurer under the Ornstein-Uhlenbeck model

References

• Baev, A. V, and B. V. Bondarev. 2007. On the ruin probability of an insurance company dealing in a BS-market. Theory of Probability and Mathematical Statistics 74:11–24. doi:10.1090/S0094-9000-07-00693-X.
   Google Scholar
• Bai, L. H., and J. Y. Guo. 2007. Utility maximization with partial information: The HJB equation approach. Frontiers of Mathematics in China 2 (4):527–37. doi:10.1007/s11464-007-0032-3.
   Google Scholar
• Bai, L. H., and J. Y. Guo. 2008. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Insurance: Mathematics and Economics 42 (3):968–75. doi:10.1016/j.insmatheco.2007.11.002.
   Web of Science ®Google Scholar
• Bi, J. N., and J. Cai. 2019. Optimal investment-reinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. Insurance: Mathematics and Economics 85:1–14. doi:10.1016/j.insmatheco.2018.11.007.
   Web of Science ®Google Scholar
• Bi, J. N., and J. Y. Guo. 2013. Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer. Journal of Optimization Theory and Applications 157 (1):252–75. doi:10.1007/s10957-012-0138-y.
   Web of Science ®Google Scholar
• Briys, E. 1985. Investment portfolio behavior of non-life insurers: A utility analysis. Insurance: Mathematics and Economics 4 (2):93–8. doi:10.1016/0167-6687(85)90003-4.
   Web of Science ®Google Scholar
• Browne, S. 1995. Optimal investment policies for a firm with a random risk process: Exponential utility and minimizing the probability of ruin. Mathematics of Operations Research 20 (4):937–58. doi:10.1287/moor.20.4.937.
   Web of Science ®Google Scholar
• Bui, T., X. Cheng, Z. Jin, and G. Yin. 2019. Approximation of a class of non-zero-sum investment and reinsurance games for regime-switching jumpdiffusion models. Nonlinear Analysis: Hybrid Systems 32:276–93.
   Web of Science ®Google Scholar
• Fleming, W. H., and H. M. Soner. 1993. Controlled markov processes and viscosity solutions. Berlin, New York: Springer.
   Google Scholar
• Gollier, C., and S. Wibaut. 1992. Portfolio selection by mutual insurance companies and optimal participating insurance policies. Insurance: Mathematics and Economics 11 (3):237–45. doi:10.1016/0167-6687(92)90029-B.
   Web of Science ®Google Scholar
• Guan, G. H., and Z. X. Liang. 2014. Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks. Insurance: Mathematics and Economics 55:105–15. doi:10.1016/j.insmatheco.2014.01.007.
   Web of Science ®Google Scholar
• Kahane, Y. 1978. Generation of investable funds and the porfolio behavior of the non-life insurance. The Journal of Risk and Insurance 45 (1):65–77. doi:10.2307/251808.
   Web of Science ®Google Scholar
• Kahane, Y, and D. Nye. 1975. A protfolio approach to the property-liability insurance industry. The Journal of Risk and Insurance 42 (4):579–98. doi:10.2307/252154.
   Web of Science ®Google Scholar
• Li, Y. W., and Z. F. Li. 2013. Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion. Insurance: Mathematics and Economics 53 (1):86–97. doi:10.1016/j.insmatheco.2013.03.008.
   Web of Science ®Google Scholar
• Liang, Z. B., K. C. Yuen, and J. Y. Guo. 2011. Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process. Insurance: Mathematics and Economics 49 (2):207–15. doi:10.1016/j.insmatheco.2011.04.005.
   Web of Science ®Google Scholar
• Luo, S., M. Taksar, and A. Tsoi. 2008. On reinsurance and investment for large insurance portfolios. Insurance: Mathematics and Economics 42 (1):434–44. doi:10.1016/j.insmatheco.2007.04.002.
   Web of Science ®Google Scholar
• Meng, H., and X. Zhang. 2010. Optimal risk control for the excess of loss reinsurance policies. ASTIN Bulletin 40 (1):179–97. doi:10.2143/AST.40.1.2049224.
   Web of Science ®Google Scholar
• Promislow, D. S., and V. R. Young. 2005. Minimizing the probability of ruin when claims follow Brownian motion with drift. North American Actuarial Journal 9 (3):110–28. doi:10.1080/10920277.2005.10596214.
   Google Scholar
• Rishel, R. 1999. Optimal portfolio management with partial observation and power utility function. In Stochastic analysis, control, optimization and applications: Volume in Honor of W.H. Fleming, ed. W. McEneany, G. Yin, Q. Zhang, 605–20. Birkhuser.
   Google Scholar
• Schmidli, H. 2001. Optimal proportional reinsurance policies in a dynamic setting. Scandinavian Actuarial Journal 2001 (1):55–68. doi:10.1080/034612301750077338.
   Google Scholar
• Wang, N. 2007. Optimal investment for an insurer with exponential utility preference. Insurance: Mathematics and Economics 40 (1):77–84. doi:10.1016/j.insmatheco.2006.02.008.
   Web of Science ®Google Scholar
• Wang, Z. W., Xia, J. M, and Zhang, L. H. 2007. Optimal investment for an insurer: The martingale approach. Insurance: Mathematics and Economics 40 (2):322–34. doi:10.1016/j.insmatheco.2006.05.003.
   Web of Science ®Google Scholar
• Webb, B. 1982. Investment income in insurance ratemaking. Journal of Insurance Regulation 1:46–76.
   Google Scholar
• Yang, P., Z. P. Chen, and Y. Xu. 2020. Time-consistent equilibrium reinsurance-investment strategy for n competitive insurers under a new interaction mechanism and a general investment framework. Journal of Computational and Applied Mathematics 374:112769. doi:10.1016/j.cam.2020.112769.
   Web of Science ®Google Scholar
• Yener, H. 2020. Proportional reinsurance and investment in multiple risky assets under borrowing constraint. Scandinavian Actuarial Journal 2020 (5):396–418. doi:10.1080/03461238.2019.1676301.
   Web of Science ®Google Scholar
• Zeng, Y., and Z. Li. 2011. Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Insurance: Mathematics and Economics 49 (1):145–54. doi:10.1016/j.insmatheco.2011.01.001.
   Web of Science ®Google Scholar
• Zhang, X., H. Meng, and Y. Zeng. 2016. Optimal investment and reinsurance strategies for insurers with generalized meanvariance premium principle and no-short selling. Insurance: Mathematics and Economics 67:125–32.
   Web of Science ®Google Scholar