This paper studies an optimal investment–reinsurance problem for an insurer with a surplus
process represented by the Cramér–Lundberg model. The insurer is assumed to be a mean …

We consider the optimal reinsurance and investment problem in an unobservable Markov-
modulated compound Poisson risk model, where the intensity and jump size distribution are …

This paper is concerned with an optimal investment and reinsurance problem with delay for
an insurer under the mean–variance criterion. A three-stage procedure is employed to solve …

This paper analyzes the optimal investment and reinsurance strategies for insurers with a
generalized mean–variance premium principle. The surplus process of the insurer is …

This paper analyzes the optimal proportional reinsurance and investment problem for an
insurer in a defaultable market. We assume that the reinsurance premium is calculated via …

In this paper, we investigate the optimal reinsurance and investment problem from joint
interests of the insurer and the reinsurer in the framework of the mixed leadership game …

We investigate optimal reinsurance and asset allocation strategies for an insurer who is
concerned about changes in economic conditions. Numerical examples with carefully …

This paper investigates a class of non-zero-sum stochastic differential investment and
reinsurance games between two insurance companies. We allow both insurers to purchase …

Optimal reinsurance problems under the risk measures, such as Value-at-Risk (VaR) and
Tail-Value-at-Risk (TVaR), have been studied in recent literature. However, losses based on …

This paper presents a stochastic control problem with an inhomogeneous regime switching
and applies it to a consumption and investment model. We prove that the inhomogeneous …