Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria (Q4576923): Difference between revisions

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scientific article; zbMATH DE number 6901697

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English	Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria	scientific article; zbMATH DE number 6901697

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instance of

scholarly article

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title

Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria (English)

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Scandinavian Actuarial Journal

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publication date

11 July 2018

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zbMATH Keywords

stochastic optimization

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mean-variance

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ambiguity-averse insurer

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Black-Scholes

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model uncertainty

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2014.883085

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cites work

Dynamic mean-variance problem with constrained risk control for the insurers

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Benchmark and mean-variance problems for insurers

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Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

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Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach

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Optimal investment-reinsurance policy for an insurance company with VaR constraint

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Mean-variance portfolio selection for a non-life insurance company

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Q4388221

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On Optimal Dividend Strategies In The Compound Poisson Model

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Aspects of risk theory

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Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

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Optimal Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation

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Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints

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Robust consumption and portfolio choice for time varying investment opportunities

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Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

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Risk minimizing portfolios and HJBI equations for stochastic differential games

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Portfolio insurance and model uncertainty

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Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

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Optimal Proportional Reinsurance Policies in a Dynamic Setting

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Worst case model risk management

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Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow

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Optimal investment for insurer with jump-diffusion risk process

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Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model

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Optimal time-consistent investment and reinsurance policies for mean-variance insurers

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Optimal reinsurance-investment strategies for insurers under mean-car criteria

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Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers

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Optimal investment and reinsurance of an insurer with model uncertainty

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Continuous-time mean-variance portfolio selection: a stochastic LQ framework

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Identifiers

zbMATH Open document ID

1401.91208

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DOI

10.1080/03461238.2014.883085

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4576923

@@ Property / author @@
+Frederi G. Viens
@@ Property / author: Frederi G. Viens / rank @@
+Normal rank
@@ Property / author @@
+Zhong-Fei Li
@@ Property / author: Zhong-Fei Li / 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/10.1080/03461238.2014.883085
+Normal rank
@@ Property / OpenAlex ID @@
+W2021680246
@@ Property / OpenAlex ID: W2021680246 / rank @@
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance problem with constrained risk control for the insurers
+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 Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
+Normal rank
@@ Property / cites work @@
+Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance policy for an insurance company with VaR constraint
+Normal rank
@@ Property / cites work @@
+Mean-variance portfolio selection for a non-life insurance company
+Normal rank
@@ Property / cites work @@
+Q4388221
@@ Property / cites work: Q4388221 / rank @@
+Normal rank
@@ Property / cites work @@
+On Optimal Dividend Strategies In The Compound Poisson Model
+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 Dynamic Portfolio Selection: Multiperiod Mean-Variance Formulation
+Normal rank
@@ Property / cites work @@
+Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints
+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
+Normal rank
@@ Property / cites work @@
+Risk minimizing portfolios and HJBI equations for stochastic differential games
+Normal rank
@@ Property / cites work @@
+Portfolio insurance and model uncertainty
@@ Property / cites work: Portfolio insurance and model uncertainty / rank @@
+Normal rank
@@ Property / cites work @@
+Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
+Normal rank
@@ Property / cites work @@
+Optimal Proportional Reinsurance Policies in a Dynamic Setting
+Normal rank
@@ Property / cites work @@
+Worst case model risk management
@@ Property / cites work: Worst case model risk management / rank @@
+Normal rank
@@ Property / cites work @@
+Multi-period mean-variance portfolio selection with regime switching and a stochastic cash flow
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+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 @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance-investment strategies for insurers under mean-car criteria
+Normal rank
@@ Property / cites work @@
+Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
+Normal rank
@@ Property / cites work @@
+Optimal investment and reinsurance of an insurer with model uncertainty
+Normal rank
@@ Property / cites work @@
+Continuous-time mean-variance portfolio selection: a stochastic LQ framework
+Normal rank