Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity (Q506097): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+E20
@@ Property / Mathematics Subject Classification ID: 93E20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6679049
@@ Property / zbMATH DE Number: 6679049 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+proportional reinsurance
@@ Property / zbMATH Keywords: proportional reinsurance / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+robust control
@@ Property / zbMATH Keywords: robust control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal investment strategy
@@ Property / zbMATH Keywords: optimal investment strategy / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+utility function
@@ Property / zbMATH Keywords: utility function / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+mispricing
@@ Property / zbMATH Keywords: mispricing / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2016.11.007
+Normal rank
@@ Property / OpenAlex ID @@
+W2565508781
@@ Property / OpenAlex ID: W2565508781 / rank @@
+Normal rank
@@ Property / cites work @@
+Benchmark and mean-variance problems for insurers
@@ Property / cites work: Benchmark and mean-variance problems for insurers / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance policy for an insurance company with VaR constraint
+Normal rank
@@ Property / cites work @@
+Q5637709
@@ Property / cites work: Q5637709 / rank @@
+Normal rank
@@ Property / cites work @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance for insurers with uncertain time-horizon
+Normal rank
@@ Property / cites work @@
+Worst-case-optimal dynamic reinsurance for large claims
+Normal rank
@@ Property / cites work @@
+Robust consumption and portfolio choice for time varying investment opportunities
+Normal rank
@@ Property / cites work @@
+Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
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@@ Property / cites work @@
+Risk minimizing portfolios and HJBI equations for stochastic differential games
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@@ Property / cites work @@
+Portfolio management with stochastic interest rates and inflation ambiguity
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
+Normal rank
@@ Property / cites work @@
+On maximizing the expected terminal utility by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
+Normal rank
@@ Property / cites work @@
+Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
+Normal rank
@@ Property / cites work @@
+Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance of an insurer with model uncertainty
+Normal rank
@@ Property / cites work @@
+On a Classical Risk Model with a Constant Dividend Barrier
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:506097