Optimal investment and proportional reinsurance with risk constraint

QR Code

Optimal investment and proportional reinsurance with risk constraint

In this paper, we investigate the problem of maximizing the expected exponential utility for an insurer. In the problem setting, the insurer can invest his/her wealth into the market and he/she can also purchase the proportional reinsurance. To control the risk exposure, we impose a value-at-risk co...

Full description

Bibliographic Details
Main Authors:	Liu, J., Yiu, K., Loxton, Ryan, Teo, Kok Lay
Format:	Journal Article
Published:	Scientific Research Publishing 2013
Subjects:	deterministic optimal control proportional reinsurance value-at-risk stochastic control martingale transform
Online Access:	http://hdl.handle.net/20.500.11937/33258

Similar Items

Optimal replication of random vectors by ordinary integrals
by: Dokuchaev, Nikolai
Published: (2013)

Optimal Investment-Consumption Problem with Constraint
by: Liu, Jingzhen, et al.
Published: (2013)

The demand for reinsurance: Empirical test for the UK life insurance industry
by: fan, xue
Published: (2008)

Demand for Reinsurance in UK property-casualty insurance industry
by: WU, RENFENG
Published: (2011)

Optimal discrete-valued control computation
by: Yu, Changjun, et al.
Published: (2013)

Asset liability management for an ordinary insurance system with proportional reinsurance in a CIR stochastic interest rate and Heston stochastic volatility framework
by: Zhang, Y., et al.
Published: (2020)

The control parameterization method for nonlinear optimal control: A survey
by: Lin, Qun, et al.
Published: (2014)

An optimal machine maintenance problem with probabilistic state constraints
by: Sun, Y., et al.
Published: (2014)

Guaranteed-cost controls of minimal variation: A numerical algorithm based on control parameterization
by: Loxton, Ryan, et al.
Published: (2014)

Minimizing control variation in nonlinear optimal control
by: Loxton, Ryan, et al.
Published: (2013)

Insurance development in the Arab world: an analysis of the relationship between available domestic retention capacity and the demand for international reinsurance
by: Ali, Abdul Zahra Abdullah
Published: (1984)

Opportunities for UK reinsurance broker on Russian insurance market
by: Rogozin, Konstantin, et al.
Published: (2006)

A computational method for solving time-delay optimal control problems with free terminal time
by: Liu, C., et al.
Published: (2014)

Determinants of demand for reinsurance: An empirical analysis based on China’s property insurance companies
by: ZHANG, NANA
Published: (2017)

Optimality of myopic strategies for multi-stock discrete time market with management costs
by: Dokuchaev, Nikolai
Published: (2010)

A New Computational Method for a Class of Free Terminal Time Optimal Control Problems
by: Qun, Lin, et al.
Published: (2011)

A New Computational Method for Optimizing Nonlinear Impulsive Systems
by: Lin, Qun, et al.
Published: (2011)

Optimal feedback control for dynamic systems with state constraints: An exact penalty approach
by: Lin, Qun, et al.
Published: (2014)

Optimal Control of Nonlinear Switched Systems: Computational Methods and Applications
by: Lin, Qun, et al.
Published: (2013)

Determinants of profitability in Mexican commercial banks. A two-stage analysis using parametric deterministic and stochastic approaches to estimate efficiency.
by: Mariscal Martinez, Jesus Angel
Published: (2015)

Optimal state-delay control in nonlinear dynamic systems
by: Liu, C., et al.
Published: (2022)

Em Approach on Influence Measures in Competing Risks Via Proportional Hazard Regression Model
by: Elfaki, Faiz. A. M.
Published: (2000)

Discrete time market with serial correlations and optimal myopic strategies.
by: Dokuchaev, Nikolai
Published: (2007)

Closed-form solutions of a fishery harvesting model with state constraint
by: Puchkova, A., et al.
Published: (2013)

A neighboring extremal solution for an optimal switched impulsive control problem
by: Jiang, C., et al.
Published: (2012)

A First-Order BSPDE for Swing Option Pricing: Classical Solutions
by: Bender, C., et al.
Published: (2017)

A first-order BSPDE for swing option pricing
by: Bender, C., et al.
Published: (2014)

Global Optimization Method for Continuous-Time Sensor Scheduling
by: Woon, Siew Fang, et al.
Published: (2010)

An Optimization Approach to State-Delay Identification
by: Loxton, Ryan, et al.
Published: (2010)

Optimal Feedback Control for Stochastic Impulsive Linear Systems Subject to Poisson Processes
by: Feng, Zhiguo, et al.
Published: (2010)

An optimal control approach to robust control of nonlinear spacecraft rendezvous system with θ-D technique
by: Gao, X., et al.
Published: (2013)

Water hammer mitigation via PDE-constrained optimization
by: Chen, T., et al.
Published: (2015)

Optimal replication of random claims by ordinary integrals with applications in finance
by: Dokuchaev, Nikolai
Published: (2013)

An exact penalty method for free terminal time optimal control problem with continuous inequality constraints
by: Jiang, Canghua, et al.
Published: (2012)

Minimizing control volatility for nonlinear systems with smooth piecewise-quadratic input signals
by: Loxton, Ryan, et al.
Published: (2020)

Min-max optimal control of linear systems with uncertainty and terminal state constraints
by: Wu, C., et al.
Published: (2013)

Proportional payoffs in legislative bargaining with weighted voting: a characterization
by: Montero, Maria
Published: (2017)

Proportional step perturbation method MPPT for boost circuit of TEG
by: Ji, Feng, et al.
Published: (2020)

An integrated optimal control algorithm for discrete-time nonlinear stochastic system
by: Kek, S., et al.
Published: (2010)

Optimal train control via switched system dynamic optimization
by: Zhong, W., et al.
Published: (2021)

Cannot write session to /tmp/vufind_sessions/sess_cm0l7akm0gqduq7dlst3c5j269