Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps (Q4583607): Difference between revisions

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scientific article; zbMATH DE number 6930166

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English	Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps	scientific article; zbMATH DE number 6930166

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instance of

scholarly article

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title

Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps (English)

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Scandinavian Actuarial Journal

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publication date

31 August 2018

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zbMATH Keywords

robust optimal control

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excess-of-loss reinsurance and investment

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jump-diffusion model

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utility maximization

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ambiguity-averse insurer

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MaRDI profile type

MaRDI publication profile

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full work available at URL

https://doi.org/10.1080/03461238.2017.1309679

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cites work

Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

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Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

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Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer

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Controlled Markov processes and viscosity solutions

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Robust portfolio choice with stochastic interest rates

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Q3868650

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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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Q4039796

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Worst-case-optimal dynamic reinsurance for large claims

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Optimal portfolios with stochastic interest rates and defaultable assets.

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Optimal dynamic reinsurance with dependent risks: variance premium principle

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Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model

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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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Applied stochastic control of jump diffusions

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Robust investment-reinsurance optimization with multiscale stochastic volatility

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On minimizing the ruin probability by investment and reinsurance

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

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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

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Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

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Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

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Identifiers

zbMATH Open document ID

1416.91203

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DOI

10.1080/03461238.2017.1309679

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:4583607

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+Normal rank
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+Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation
+Normal rank
@@ Property / cites work @@
+Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
+Normal rank
@@ Property / cites work @@
+Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank
@@ Property / cites work @@
+Robust portfolio choice with stochastic interest rates
+Normal rank
@@ Property / cites work @@
+Q3868650
@@ Property / cites work: Q3868650 / 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 @@
+Q4039796
@@ Property / cites work: Q4039796 / rank @@
+Normal rank
@@ Property / cites work @@
+Worst-case-optimal dynamic reinsurance for large claims
+Normal rank
@@ Property / cites work @@
+Optimal portfolios with stochastic interest rates and defaultable assets.
+Normal rank
@@ Property / cites work @@
+Optimal dynamic reinsurance with dependent risks: variance premium principle
+Normal rank
@@ Property / cites work @@
+Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
+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 @@
+Applied stochastic control of jump diffusions
@@ Property / cites work: Applied stochastic control of jump diffusions / rank @@
+Normal rank
@@ Property / cites work @@
+Robust investment-reinsurance optimization with multiscale stochastic volatility
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+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 @@
+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 excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
+Normal rank
@@ Property / cites work @@
+Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:4583607