[1] Browne, S.: Optimal investment policies for a firm with a random risk process: exponential utility and minimizing the probability of ruin. Math. Oper. Res. 20, 937–957(1995)
[2] Højgaard, B., Taksar, M.: Optimal proportional reinsurance policies for diffusion models. Scand. Actuar. J. 2, 166–180(1998)
[3] Yang, H.L., Zhang, L.H.: Optimal investment for insurer with jump-diffusion risk process. Insur. Math. Econ 37, 615–634(2005)
[4] Wang, N.: Optimal investment for an insurer with exponential utility preferences. Insur. Math. Econ 40, 77–84(2007)
[5] Bai, L.H., Guo, J.Y.: Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint. Insur. Math. Econ. 42, 968–975(2008)
[6] Xu, L., Wang, R.M., Yao, D.J.: On maximizing the expected terminal utility by investment and reinsurance. J. Ind. Manag. Optim. 4, 801–815(2008)
[7] Bäuerle, N., Blatter, A.: Optimal control and dependence modeling of insurance portfolios with Lévy dynamics. Insur. Math. Econ. 48, 398–405(2011)
[8] Zeng, Y., Li, Z.F.: Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Insur. Math. Econ. 49, 145–154(2011)
[9] Zeng, Y., Li, Z.F., Lai, Y.Z.: Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Insur. Math. Econ. 52, 498–507(2013)
[10] Li, Z.F., Zeng, Y., Lai, Y.Z.: Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Insur. Math. Econ. 51, 191–203(2012)
[11] Shen, Y., Zeng, Y.: Optimal investment-reinsurance strategy for mean-variance insurers with squareroot factor process. Insur. Math. Econ. 62, 118–137(2015)
[12] Zeng, Y., Li, Z.F.: Optimal reinsurance-investment strategies for insurers under mean-CaR criteria. J. Ind. Manag. Optim. 8(3), 673–690(2012)
[13] Chen, S.M., Li, Z.F.: Optimal investment-reinsurance strategy for an insurance company with VaR contraint. Insur. Math. Econ. 47, 144–153(2010)
[14] Schmidli, H.: On minimizing the ruin probability by investment and reinsurance. Ann. Appl. Probab. 12, 890–907(2002)
[15] Promislow, D.S., Young, V.R.: Minimizing the probability of ruin when claims follow Brownian motion with drift. N. Am. Actuar. J. 9, 109–128(2005)
[16] Zhang, X., Siu, T.K.: On optimal proportional reinsurance and investment in a Markovian regimeswitching economy. Acta Math. Sin. (English Ser.) 28, 67–82(2012)
[17] Liu, J., Yiu, K.F.C., Siu, T.K.: Optimal investment of an insurer with regime-switching and risk constraint. Scand. Actuar. J. 2014, 583–601(2013)
[18] Elliott, R.J., Siu, T.K.: A stochastic differential game for optimal investment of an insurer with regime switching. Quant. Finance 11, 365–380(2011)
[19] Zhang, X., Siu, T.K.: Optimal investment and reinsurance of an insurer with model uncertainty. Insur. Math. Econ. 45, 81–88(2009)
[20] Lin, X., Zhang, C., Siu, T.K.: Stochastic differential portfolio games for an insurer in jump diffusion risk process. Math. Oper. Res. 75, 83–100(2012)
[21] Yi,B.,Li,Z.,Viens,F.,Zeng,Y.: Robust optimal control for an insurer with reinsurance and investment under Hestons stochastic volatility model. Insur. Math. Econ. 53, 601–614(2013)
[22] Beckers,S.: The constant elasticity of variancemodel and its implications for option pricing. J. Finance 35, 661–673(1980)
[23] Hobson, D.G., Rogers, L.C.G.: Complete models with stochastic volatility. Math. Finance 8, 27–48(1998)
[24] Engle, R.: Autoregressive conditional heteroskedasticity with estimates of the variance of U.K. inflation. Econometrica 50, 987–1008(1982)
[25] Taylor, S.J.: Financial returns modeled by the product of two stochastic processes, a study of daily sugar prices. 1961–75. In: Anderson, O.D. (ed.) Time Series Analysis: Theory and Practice, vol. 1, pp. 203–226. North-Holland, Amsterdam (1982)
[26] Cox, J.C., Ross, S.A.: The valuation of options for alternative stochastic processes. J. Financ. Econ. 4, 145–166(1976)
[27] Hull, J., White, A.: The pricing of options on assets with stochastic volatilities. J. Finance 42, 281–300(1987)
[28] Stein, E.M., Stein, J.C.: Stock price distribution with stochastic volatility: an analytic approach. Rev. Financ. Stud. 4, 727–752(1991)
[29] Heston, S.L.: A closed-form solution for options with stochastic volatility with applications to bond and currency options. Rev. Financ. Stud. 6, 327–343(1993)
[30] Gu, M.D., Yang, Y.P., Li, S.D., Zhang, J.Y.: Constant elasticity of variance model for proportional reinsurance and investment strategies. Insur. Math. Econ. 46, 580–587(2010)
[31] Gu, A.L., Guo, X.P., Li, Z.F., Zeng, Y.: Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model. Insur. Math. Econ. 51, 674–684(2012)
[32] Zhao, H., Rong, X.M., Zhao, Y.G.: Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model. Insur. Math. Econ. 53, 504–514(2013)
[33] Øksendal, B., Sulem, A.: A maximum principle for optimal control of stochastic systems with delay, with applications to finance. In: Menaldi, J.M., Rofman, E., Sulem, A. (eds.) Optimal Control and Partial Differential Equations-Innovations and Applications. IOS Press, Amsterdam (2000)
[34] Elsanousi, I., Øksendal, B., Sulem, A.: Some solvable stochastic control problems with delay. Stoch. Stoch. Rep. 71(1), 69–89(2000)
[35] Larssen, B.: Dynamic programming in stochastic control of systems with delay. Int. J. Probab. Stoch. Process. 74(3–4), 651–673(2002)
[36] Elsanousi, L., Larssen, B.: Optimal Consumption Under Partial Observations for a Stochastic System with Delay. University of Oslo, Oslo, Norway (2001). http://urn.nb.no/URN:NBN:no-24279
[37] Chang, M.-H., Pang, T., Yang, Y.P.: A stochastic portfolio optimization model with bounded memory. Math. Oper. Res. 36(4), 604–619(2011)
[38] Federico, S.: A stochastic control problem with delay arising in a pension fund model. Finance Stoch. 15, 421–459(2011)
[39] Shen,Y.,Zeng,Y.: Optimal investment-reinsurance with delayformean-variance insurers: amaximum principle approach. Insur. Math. Econ. 57, 1–12(2014)
[40] A, C., Li, Z.: Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model. Insur. Math. Econ. 61, 181–196(2015)
[41] A, C., Lai, Y., Shao, Y.: Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model. J. Comput. Appl. Math. 342, 317–336(2018)
[42] Pang, T., Hussain, A.: An infinite time horizon portfolio optimization model with delays. Math. Control Relat. Fields 6(4), 629–651(2016)
[43] Pang, T., Hussain, A.: A stochastic portfolio optimization model with complete memory. Stoch. Anal. Appl. 35(4), 742–766(2017)
[44] Yang, X.X., Liang, Z.B., Zhang, C.B.: Optimal mean-variance reinsurance with delay and multiple classes of dependent risks. Sci. China Math. 47(6), 723–756(2017). (in Chinese)
[45] Li, K., Liu, J.: Portfolio selection under time delays: a piecewise dynamic programming approach (2018). https://doi.org/10.2139/ssrn.2916481
[46] Deng, C., Bian, W.L., Wu, B.Y.: Optimal reinsurance and investment problem with default risk and bounded memory. Int. J. Control (2019). https://doi.org/10.1080/00207179.2019.1573320
[47] Lin, X., Li, Y.F.: Optimal reinsurance and investment for a jump diffusion risk process under the CEV model. N. Am. Actuar. J. 15(3), 417–431(2012)
[48] Cox, J.C., Ingersoll, J.E., Ross, S.A.: A theorey of term structure of interest rates. Econometrica 53, 385–407(1985)
[49] Kraft, H.: Optimal portfolios and Heston stochastic volatility model: an explicit solution for power utility. Quant. Finance 5, 303–313(2005)
[50] Fleming, W.H., Hernández-Hernández, D.: An optimal consumption model with stochastic volatility. Finance Stoch. 7, 245–262(2003)
