Optimal investment, consumption and proportional reinsurance under model uncertainty (Q2514622): Difference between revisions

@@ Property / author @@
-Xing-Chun Peng
@@ Property / author: Xing-Chun Peng / rank @@
-Normal rank
@@ Property / author @@
-Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
-Normal rank
@@ Property / author @@
+Xing-Chun Peng
@@ Property / author: Xing-Chun Peng / rank @@
+Normal rank
@@ Property / author @@
+Hu, Yijun
@@ Property / author: Hu, Yijun / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1016/j.insmatheco.2014.09.013
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@@ Property / OpenAlex ID @@
+W2083857866
@@ Property / OpenAlex ID: W2083857866 / rank @@
+Normal rank
@@ Property / cites work @@
+White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
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+Dynamic mean-variance problem with constrained risk control for the insurers
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+Optimal mean-variance problem with constrained controls in a jump-diffusion financial market for an insurer
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+A discussion of parameter and model uncertainty in insurance
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+Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
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+Optimal investment-reinsurance policy for an insurance company with VaR constraint
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+Optimal portfolio, partial information and Malliavin calculus
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+Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
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+On reinsurance and investment for large insurance portfolios
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+Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
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+The Malliavin Calculus and Related Topics
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+Portfolio optimization under model uncertainty and BSDE games
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+Optimal proportional reinsurance and investment under partial information
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+On minimizing the ruin probability by investment and reinsurance
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+Necessary Conditions for Optimal Control of Stochastic Systems with Random Jumps
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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 investment and reinsurance of an insurer with model uncertainty
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+Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
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@@ links / mardi / name / links / mardi / name @@
+Publication:2514622