Open Access
| Issue |
RAIRO-Oper. Res.
Volume 59, Number 6, November-December 2025
|
|
|---|---|---|
| Page(s) | 3913 - 3944 | |
| DOI | https://doi.org/10.1051/ro/2025152 | |
| Published online | 07 January 2026 | |
- S. Browne, Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin. Math. Oper. Res. 20 (1995) 937–958. [Google Scholar]
- H. Chang, Dynamic mean–variance portfolio selection with liability and stochastic interest rate. Econ. Modell. 51 (2015) 172–182. [Google Scholar]
- P. Chen, H. Yang and G. Yin, Markowitz’s mean–variance asset-liability management with regime switching: a continuous-time model. Insurance Math. Econ. 43 (2008) 456–465. [Google Scholar]
- X. Chen, F. Huang and X. Li, Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model. Stoch. Models 38 (2022) 167–189. [Google Scholar]
- M.C. Chin and H.Y. Wong, Mean–variance asset-liability management with asset correlation risk and insurance liabilities. Insurance Math. Econ. 59 (2014) 300–310. [Google Scholar]
- M.C. Chiu and D. Li, Asset and liability management under a continuous-time mean–variance optimization framework. Insurance Math. Econ. 39 (2006) 330–355. [Google Scholar]
- L. Colombo and P. Labrecciosa, Consumer surplus-enhancing cooperation in a natural resource oligopoly. J. Environ. Econ. Manage. 92 (2018) 185–193. [Google Scholar]
- J.C. Cox and S.A. Ross, The valuation of options for alternative stochastic processes. J. Finan. Econ. 3 (1976) 145–166. [Google Scholar]
- R.M. Cyert and M.H. Degroot, An analysis of cooperation and learning in a duopoly context. Am. Econ. Rev. 63 (1973) 24–37. [Google Scholar]
- X. Dong, X. Rong and H. Zhao, Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model. J. Ind. Manage. Optim. 19 2023. [Google Scholar]
- G.-E. Espinosa and N. Touzi, Optimal investment under relative performance concerns. Math. Finan. 25 (2015) 221–257. [Google Scholar]
- W.H. Fleming and H.M. Soner, Controlled Markov Processes and Viscosity Solutions. Springer (2006). [Google Scholar]
- M. Gu, Y. Yang, S. Li and J. Zhang, Constant elasticity of variance model for proportional reinsurance and investment strategies. Insurance Math. Econ. 46 (2010) 580–587. [Google Scholar]
- X. Han, Z. Liang and K.C. Yuen, Minimizing the probability of absolute ruin under the mean–variance premium principle. Optim. Control App. Methods 42 (2021) 786–806. [Google Scholar]
- F. Hu and R. Wang, Optimal investment-consumption strategy with liability and regime switching model under value-at-risk constraint. Appl. Math. Comput. 313 (2017) 103–118. [Google Scholar]
- R. Josa-Fombellida and J.P. Rincón-Zapatero, Optimal investment decisions with a liability: the case of defined benefit pension plans. Insurance Math. Econ. 39 (2006) 81–98. [Google Scholar]
- D. Li, Y. Zeng and H. Yang, Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps. Scand. Actuarial J. 2018 (2018) 145–171. [Google Scholar]
- Z. Liang and K.C. Yuen, Optimal dynamic reinsurance with dependent risks: variance premium principle. Scand. Actuarial J. 2016 (2016) 18–36. [Google Scholar]
- X. Luo and Q. Zhou, Stochastic differential games on robust optimal asset-liability management with delay under the CEV model. J. Ind. Manage. Optim. 21 (2025) 1771–1796. [Google Scholar]
- S. Me, Continuous-time mean–variance portfolio selection with liability and regime switching. Insurance Math. Econ. 45 (2009) 148–155. [Google Scholar]
- R.C. Merton, Optimum consumption and portfolio rules in a continuous-time model. J. Econ. Theory 3 (1971) 373–413. [CrossRef] [Google Scholar]
- J. Pan and Q. Xiao, Optimal asset-liability management with liquidity constraints and stochastic interest rates in the expected utility framework. J. Comput. Appl. Math. 317 (2017) 371–387. [Google Scholar]
- J. Pan and Q. Xiao, Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks. Math. Methods Oper. Res. 85 (2017) 491–519. [Google Scholar]
- J. Pan, S. Hu and X. Zhou, Optimal investment strategy for asset-liability management under the Heston model. Optimization 68 (2019) 895–920. [Google Scholar]
- X. Peng and F. Chen, Mean–variance asset-liability management with inside information. Commun. Stat.-Theory Methods 51 (2022) 2281–2302. [Google Scholar]
- S.D. Promislow and V.R. Young, Minimizing the probability of ruin when claims follow Brownian motion with drift. North Am. Actuarial J. 9 (2005) 110–128. [Google Scholar]
- C.S. Pun, Robust time-inconsistent stochastic control problems. Automatica 94 (2018) 249–257. [Google Scholar]
- H. Schmidli, On optimal investment and subexponential claims. Insurance Math. Econ. 36 (2005) 25–35. [Google Scholar]
- G. Shaidolda and K. Uğurlu, Lower partial moments for skew elliptical distributions. J. Ind. Manage. Optim. 21 (2025) 4503–4535. [Google Scholar]
- W.F. Sharpe and L.G. Tint, Liabilities-a new approach. J. Portfolio Manage. 16 (1990) 5–10. [Google Scholar]
- K. Uğurlu, Dynamic optimal contract under parameter uncertainty with risk-averse agent and principal. Turkish J. Math. 42 (2018) 977–992. [Google Scholar]
- K. Uğurlu, Terminal wealth maximization under drift uncertainty. Optimization 74 (2025) 1743–1761. [Google Scholar]
- J. Wei and T. Wang, Time-consistent mean–variance asset-liability management with random coefficients. Insurance Math. Econ. 77 (2017) 84–96. [Google Scholar]
- S. Xie, Z. Li and S. Wang, Continuous-time portfolio selection with liability: mean–variance model and stochastic LQ approach. Insurance Math. Econ. 42 (2008) 943–953. [Google Scholar]
- Y. Yuan and H. Mi, Robust optimal asset-liability management with penalization on ambiguity. J. Ind. Manage. Optim. 18 (2022). [Google Scholar]
- K.C. Yuen, Z. Liang and M. Zhou, Optimal proportional reinsurance with common shock dependence. Insurance Math. Econ. 64 (2015) 1–13. [Google Scholar]
- C. Yusong and Z. Xianquan, Optimal proportional reinsurance and investment with minimum probability of ruin. Appl. Math. Comput. 218 (2012) 5433–5438. [Google Scholar]
- Y. Zeng and Z. Li, Asset-liability management under benchmark and mean–variance criteria in a jump diffusion market. J. Syst. Sci. Complexity 24 (2011) 317–327. [Google Scholar]
- X. Zhang and T.K. Siu, On optimal proportional reinsurance and investment in a Markovian regime-switching economy. Acta Math. Sin. English Ser. 28 (2012) 67–82. [Google Scholar]
- Y. Zhang, Y. Wu, S. Li and B. Wiwatanapataphee, Mean–variance asset liability management with state-dependent risk aversion. North Am. Actuarial J. 21 (2017) 87–106. [Google Scholar]
- J. Zhang, P. Chen, Z. Jin and S. Li, Open-loop equilibrium strategy for mean–variance asset-liability management portfolio selection problem with debt ratio. J. Comput. Appl. Math. 380 (2020) 112951. [Google Scholar]
- Y. Zhang, P. Zhao and B. Kou, Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model. J. Comput. Appl. Math. 382 (2021) 113082. [Google Scholar]
- H. Zhu, M. Cao and Y. Zhu, Non-zero-sum reinsurance and investment game between two mean–variance insurers under the CEV model. Optimization 70 (2021) 2579–2606. [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.
