Acta mathematica scientia,Series A ›› 2024, Vol. 44 ›› Issue (5): 14001414.
Wang Yankai,Peng Xingchun^{*}()
Received:
20240119
Revised:
20240428
Online:
20241026
Published:
20241016
Supported by:
CLC Number:
Wang Yankai, Peng Xingchun. TimeConsistent Risk Control and Investment Strategies With Transaction Costs[J].Acta mathematica scientia,Series A, 2024, 44(5): 14001414.
[1] 
Bai L, Guo J. Optimal proportional reinsurance and investment with multiple risky assets and noshorting constraint. Insurance: Mathematics and Economics, 2008, 42(3): 968975
doi: 10.1016/j.insmatheco.2007.11.002 
[2]  Zeng Y, Li Z. Optimal timeconsistent investment and reinsurance policies for meanvariance insurers. Insurance: Mathematics and Economics, 2011, 49(1): 145154 
[3]  季锟鹏, 彭幸春. 考虑通胀风险与最低绩效保障的损失厌恶型保险公司的最优投资与再保险策略. 数学物理学报, 2022, 42A(4): 12651280 
Ji K, Peng X. Optimal investment and reinsurance strategies for lossaverse insurer considering inflation risk and minimum performance guarantee. Acta Mathematica Sci, 2022, 42A(4): 12651280  
[4]  黄玲, 刘海燕, 陈密. 基于 OrnsteinUhlenbeck 过程下具有两个再保险公司的比例再保险与投资. 数学物理学报, 2023, 43A(3): 957969 
Huang L, Liu H, Chen M. Proportion reinsurance and investment based on the OrnsteinUhlenbeck process in the presence of two reinsurers. Acta Mathematica Sci, 2023, 43A(3): 957969  
[5]  Zou B, Cadenillas A. Optimal investment and risk control policies for an insurer: Expected utility maximization. Insurance: Mathematics and Economics, 2014, 58: 5767 
[6]  Peng X, Wang W. Optimal investment and risk control for an insurer under inside information. Insurance: Mathematics and Economics, 2016, 69: 104116 
[7]  Bo L, Wang S. Optimal investment and risk control for an insurer with stochastic factor. Operations Research Letters, 2017, 45(3): 259265 
[8]  Peng X, Chen F, Wang W. Optimal investment and risk control for an insurer with partial information in an anticipating environment. Scandinavian Actuarial Journal, 2018, 2018(10): 933952 
[9]  Shen Y, Zou B. Meanvariance investment and risk control strategiesA timeconsistent approach via a forward auxiliary process. Insurance: Mathematics and Economics, 2021, 97: 6880 
[10]  Chen F, Li B, Peng X. Portfolio Selection and Risk Control for an Insurer With Uncertain Time Horizon and Partial Information in an Anticipating Environment. Methodology and Computing in Applied Probability, 2022, 24(2): 635659 
[11]  Bai L, Guo J. Optimal dynamic excessofloss reinsurance and multidimensional portfolio selection. Science China Mathematics, 2010, 53: 17871804 
[12]  王雨薇, 荣喜民, 赵慧. 基于模型不确定性的保险人最优投资再保险问题研究. 工程数学学报, 2022, 39(1): 119 
Wang Y, Rong X, Zhao H. Optimal reinsurance and investment strategies for insurers with ambiguity aversion: Minimizing the probability of ruin. Chinese Journal of Engineering Mathematics, 2022, 39(1): 119  
[13]  Bayraktar E, Zhang Y. Minimizing the probability of lifetime ruin under ambiguity aversion. SIAM Journal on Control and Optimization, 2015, 53(1): 5890 
[14]  Bi J, Meng Q, Zhang Y. Dynamic meanvariance and optimal reinsurance problems under the nobankruptcy constraint for an insurer. Annals of Operations Research, 2014, 212: 4359 
[15]  Sun Z, Guo J. Optimal meanvariance investment and reinsurance problem for an insurer with stochastic volatility. Mathematical Methods of Operations Research, 2018, 88: 5979 
[16]  Wang T, Wei J. Meanvariance portfolio selection under a nonMarkovian regimeswitching model. Journal of Computational and Applied Mathematics, 2019, 350: 442455 
[17]  Björk T, Murgoci A. A general theory of Markovian time inconsistent stochastic control problems. Ssrn Electronic Journal, 2010, 18(3): 545592 
[18]  Lin X, Qian Y. Timeconsistent meanvariance reinsuranceinvestment strategy for insurers under CEV model. Scandinavian Actuarial Journal, 2016, 2016(7): 646671 
[19]  Björk T, Murgoci A, Zhou X Y. Meanvariance portfolio optimization with statedependent risk aversion. Mathematical Finance: An International Journal of Mathematics, Statistics and Financial Economics, 2014, 24(1): 124 
[20]  Bi J, Cai J. Optimal investmentreinsurance strategies with state dependent risk aversion and VaR constraints in correlated markets. Insurance: Mathematics and Economics, 2019, 85: 114 
[21]  Yuan Y, Han X, Liang Z, et al. Optimal reinsuranceinvestment strategy with thinning dependence and delay factors under meanvariance framework. European Journal of Operational Research, 2023, 311(2): 581595 
[22]  Yoshimoto A. The meanvariance approach to portfolio optimization subject to transaction costs. Journal of the Operations Research Society of Japan, 1996, 39(1): 99117 
[23]  He L, Liang Z. Optimal financing and dividend control of the insurance company with fixed and proportional transaction costs. Insurance: Mathematics and Economics, 2009, 44(1): 8894 
[24] 
Hobson D, Tse A S L, Zhu Y. Optimal consumption and investment under transaction costs. Mathematical Finance, 2019, 29(2): 483506
doi: 10.1111/mafi.12187 
[25]  Mei X, Nogales F J. Portfolio selection with proportional transaction costs and predictability. Journal of Banking & Finance, 2018, 94: 131151 
[26]  Melnyk Y, MuhleKarbe J, Seifried F T. Lifetime investment and consumption with recursive preferences and small transaction costs. Mathematical Finance, 2020, 30(3): 11351167 
[27]  Gârleanu N, Pedersen L H. Dynamic trading with predictable returns and transaction costs. The Journal of Finance, 2013, 68(6): 23092340 
[28]  Gârleanu N, Pedersen L H. Dynamic portfolio choice with frictions. Journal of Economic Theory, 2016, 165: 487516 
[29]  Ma G, Siu C C, Zhu S P. Dynamic portfolio choice with return predictability and transaction costs. European Journal of Operational Research, 2019, 278(3): 976988 
[30]  Bensoussan A, Ma G, Siu C C, et al. Dynamic meanvariance problem with frictions. Finance and Stochastics, 2022, 26(2): 267300 
