{"entities":{"Q2398561":{"pageid":2409304,"ns":120,"title":"Item:Q2398561","lastrevid":74044470,"modified":"2026-04-14T18:10:06Z","type":"item","id":"Q2398561","labels":{"en":{"language":"en","value":"Worst-case investment and reinsurance optimization for an insurer under model uncertainty"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6760857"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$B12C876F-CA25-4885-A51B-511381465B91","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"9e408113e22fc6968a96347cd5aca8740b534258","datavalue":{"value":{"text":"Worst-case investment and reinsurance optimization for an insurer under model uncertainty","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2398561$541D9B3A-DEC0-414B-B898-E16CDFB3622C","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"0d1766d4392ebf9dcfae797b52ea08f67e1465bd","datavalue":{"value":"1405.91264","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2398561$CBB7966A-36BA-4222-9C1F-EE4167B12E72","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"d1d1c27a5192c57d94fd98efe312d82992d09f24","datavalue":{"value":"10.1155/2016/9693419","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2398561$D80BD1A8-BF9F-4DB3-8A12-5F3240D94595","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"f7b570dda322ec9a1c6ed3308c8541cc45854b5b","datavalue":{"value":{"entity-type":"item","numeric-id":2036858,"id":"Q2036858"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$539572F4-45BD-4E25-BC63-8B36E3181722","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"419f05aeda4cfc4d4b5a8ec3c25860e227a27c41","datavalue":{"value":{"entity-type":"item","numeric-id":1789865,"id":"Q1789865"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$040EE735-52A2-4F57-B6F4-3A8957F70AF8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"47ca2d8a6efbf5b29a0567c6947591c1218d06d8","datavalue":{"value":{"entity-type":"item","numeric-id":243995,"id":"Q243995"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$A544C42A-262F-48D9-977B-717C17033025","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"df30185dbbd6ad08e483977e3d3c350c11676e9b","datavalue":{"value":{"entity-type":"item","numeric-id":1618389,"id":"Q1618389"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$BD410264-1932-47D2-8276-29CD894192AD","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"e5ea7bc024fe2946ca15646035f056e2ab96db7a","datavalue":{"value":{"entity-type":"item","numeric-id":169945,"id":"Q169945"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$13D2AFD4-C46E-4ABC-8454-21CF8EF8699F","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"c1d7c0d25932e6c783b5452f9f0c5ca5bd63b788","datavalue":{"value":{"time":"+2017-08-16T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2398561$46CABCB3-6020-4D87-B02E-974AE8371781","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"2903866a0ed121f78f16c721dc6d2f44bf062df2","datavalue":{"value":"Summary: In this paper, we study optimal investment-reinsurance strategies for an insurer who faces model uncertainty. The insurer is allowed to acquire new business and invest into a financial market which consists of one risk-free asset and one risky asset whose price process is modeled by a geometric Brownian motion. Minimizing the expected quadratic distance of the terminal wealth to a given benchmark under the ``worst-case'' scenario, we obtain the closed-form expressions of optimal strategies and the corresponding value function by solving the Hamilton-Jacobi-Bellman (HJB) equation. Numerical examples are presented to show the impact of model parameters on the optimal strategies.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2398561$5EB33ACD-1CA6-4D87-9276-BFD9CE280CDA","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"e54dfc2ecddf296ea542bd5ed5f10672d6b15158","datavalue":{"value":"91B30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2398561$7807CE8E-2A19-4C80-9ADB-0E21A142EEA2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"b0a8ec7e0e558e61536a56fc2bf8ce5de05286c1","datavalue":{"value":"60J70","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2398561$81CBFD6D-680F-4C10-8CEE-21CC2426A0FF","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"aa3ca91474fff28e420d9cace433f8447ec799b0","datavalue":{"value":"90C39","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2398561$860CC692-F20C-4D7E-8681-FA22EBC94AE0","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"ea7e3c2be9640bb68c32682ece538508acd7be76","datavalue":{"value":"6760857","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2398561$3BB64B10-5AA6-48F0-97EE-479D03BE8647","rank":"normal"}],"P12":[{"mainsnak":{"snaktype":"value","property":"P12","hash":"95066a13d9c32e99f701dff7f2186cbd8e509d6f","datavalue":{"value":"Q59123704","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2398561$651ED6A4-024C-4E35-A497-80C84FC47129","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$E7217B5A-623E-4503-B28F-4C75611129CD","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"d0f4aaaf623621fe66eca2b9c2e79e979e9c7418","datavalue":{"value":"https://doi.org/10.1155/2016/9693419","type":"string"},"datatype":"url"},"type":"statement","id":"Q2398561$BE32DA59-8E21-4D04-8843-2B271B6CF023","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"786b5600b8b20cc028b99d731edf1102ad1ff74d","datavalue":{"value":"W2561311353","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2398561$3246087D-4D82-477E-98DB-FBEB6B9A4AAC","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"1c129aca4cc28bf345ec0ddecb6b045b3f2f3e54","datavalue":{"value":{"entity-type":"item","numeric-id":4881518,"id":"Q4881518"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$3D9BADC2-64BC-40CB-AD62-3E1DB8D3D455","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"89b5120b2a0cc39ae11179b605ccc9607ae2685c","datavalue":{"value":{"entity-type":"item","numeric-id":5942779,"id":"Q5942779"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$A7A7DEF6-36C8-4BBB-B838-B6DB7D5692F5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b74934e2948da1e01f258e2acf6d90754ba066fe","datavalue":{"value":{"entity-type":"item","numeric-id":2739854,"id":"Q2739854"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$440849D6-38D8-4478-ACEF-9B819DD44519","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"02cd761c566d07b74d9434294845374fbb899958","datavalue":{"value":{"entity-type":"item","numeric-id":1872375,"id":"Q1872375"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$F2154A47-9401-4A8A-8B7E-00E821AEA1DC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1356982a36837f1d836ed3c95a446afede20f30d","datavalue":{"value":{"entity-type":"item","numeric-id":814890,"id":"Q814890"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$42DE1916-5E03-4649-BF94-A72688A0A0B2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3e9c0add355cacdbfb122e24aeaa1fd867022987","datavalue":{"value":{"entity-type":"item","numeric-id":1006562,"id":"Q1006562"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$E4FA6C43-B4FE-4DBE-B5B5-83BBC32763E9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9204d85ec08f8a9cd4b11b84dfae81eebb1c9a8d","datavalue":{"value":{"entity-type":"item","numeric-id":654939,"id":"Q654939"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$1783E077-62AC-4EBE-9D49-52A3E9CE7F21","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"d4cb0efa1752d7ee958c82aec37ba6619a001cc2","datavalue":{"value":{"entity-type":"item","numeric-id":2276271,"id":"Q2276271"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$A6EFC259-4D54-4FA5-9CBE-B737955FD597","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"e430f601bfeacd216f361994048900fc24f0879d","datavalue":{"value":{"entity-type":"item","numeric-id":2253397,"id":"Q2253397"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$4B4F0CFF-A56E-4912-9D0C-862C05F8D03B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"23b620e0253100bb95e23bf33d3eddaed0144878","datavalue":{"value":{"entity-type":"item","numeric-id":2514629,"id":"Q2514629"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$F1DDACFF-C4DE-496C-B85E-4DF14DAB2130","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"940396be7360fb5721a3732e3811e9888c15ac6f","datavalue":{"value":{"entity-type":"item","numeric-id":2443229,"id":"Q2443229"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$87C6436F-C83A-48FD-94DE-00CC3430F286","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"63897468cfdb1aba1954afc71fe222db6a044fc2","datavalue":{"value":{"entity-type":"item","numeric-id":2347064,"id":"Q2347064"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$4E4F0F1F-6561-46BA-9D5C-C88D3C50D98A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a2f5c118431851dbe8801004ef24fe3f132c4469","datavalue":{"value":{"entity-type":"item","numeric-id":1424697,"id":"Q1424697"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$1F211324-9EF3-4838-8CCB-D42E6C1D86B5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"882bf1573f47f1416107261a0280287ace9a4293","datavalue":{"value":{"entity-type":"item","numeric-id":3518568,"id":"Q3518568"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$285FA9A5-8423-4DB7-A093-81E2828787B3","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"a4112be2ab95fad57cc7e22eeab1fa250f777905","datavalue":{"value":{"entity-type":"item","numeric-id":659098,"id":"Q659098"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$3D817786-6202-433A-B396-BFA7320D8AA9","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4bca93ef16a780bfe8451471afde94669d165dc8","datavalue":{"value":{"entity-type":"item","numeric-id":1935921,"id":"Q1935921"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$D1D8264F-E99D-412F-8262-C44C85576FBC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"1518fa24b61d3e6b976ebe0c74b2252257ad376b","datavalue":{"value":{"entity-type":"item","numeric-id":1188781,"id":"Q1188781"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$84473CCD-9EC4-40EB-A28E-A07E85F75E66","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"db251d402f6717eeaaac7904010582525f2fdf86","datavalue":{"value":{"entity-type":"item","numeric-id":5434181,"id":"Q5434181"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$54FAD11B-262E-4CE8-ABD9-A18ED0413847","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"ce50c10228f6ffa66d2cb4f71243d769905a9029","datavalue":{"value":{"entity-type":"item","numeric-id":5967093,"id":"Q5967093"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$BDD5100C-F08F-4962-BEF1-47125813635D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"bf56f0d68ee7f6609675905090d4a4a650a85026","datavalue":{"value":{"entity-type":"item","numeric-id":703133,"id":"Q703133"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$355529F9-4A9B-4FE4-B840-D0147A4F9762","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"34417881b3291e9844de4635113ca014e710ec9b","datavalue":{"value":{"entity-type":"item","numeric-id":659098,"id":"Q659098"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"214b69778f0abe1ad017fb23622f52feece9e4cf","datavalue":{"value":{"amount":"+0.857438862323761","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2398561$E00B76B4-5A4F-476C-9575-F02307E96E6D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"05df7b5df6d42128392f2b4524c3e8f1b6b088f2","datavalue":{"value":{"entity-type":"item","numeric-id":2514622,"id":"Q2514622"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"491a286874078972356995cb915712b69a237a56","datavalue":{"value":{"amount":"+0.8249094486236572","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2398561$64F24DCD-8EE8-4277-8D93-9203B246EEDC","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"8855e4e5621ccdfbdeeb5ef1d5fca819837a6a94","datavalue":{"value":{"entity-type":"item","numeric-id":2483943,"id":"Q2483943"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"616738c74f11550ec7f092db78c20c6ad779255c","datavalue":{"value":{"amount":"+0.8236875534057617","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2398561$D721A59E-DF81-42D3-8C20-3B25D1C21C3A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"1dc02fde12ce52388b54e18c93cbadd6beeb5902","datavalue":{"value":{"entity-type":"item","numeric-id":2327727,"id":"Q2327727"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"3035f631c588f42cf01851732d413600d0c8f946","datavalue":{"value":{"amount":"+0.8216434717178345","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2398561$09EDC255-AE86-43A0-B453-5F1C46555062","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"93443aa419c7e01c198853c4ce76b4dcc5deb6fc","datavalue":{"value":{"entity-type":"item","numeric-id":4576923,"id":"Q4576923"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"d992b0a4ccea526d2459c462ec224d1815d9ae9b","datavalue":{"value":{"amount":"+0.8152514696121216","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2398561$FB90BE30-1A04-4AD5-821E-3D6FB276C5D6","rank":"normal"}],"P163":[{"mainsnak":{"snaktype":"value","property":"P163","hash":"45fcd4163b5f33e6e8c784f5522d7246c0a1a61e","datavalue":{"value":{"entity-type":"item","numeric-id":57056,"id":"Q57056"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2398561$5D9FBF7D-AD9F-40D8-8B35-13342D53B1C4","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Worst-case investment and reinsurance optimization for an insurer under model uncertainty","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Worst-case_investment_and_reinsurance_optimization_for_an_insurer_under_model_uncertainty"}}}}}