Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks (Q6060868): Difference between revisions

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scientific article; zbMATH DE number 7772187

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English	Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks	scientific article; zbMATH DE number 7772187

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instance of

scholarly article

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title

Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks (English)

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published in

Communications in Statistics - Theory and Methods

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publication date

29 November 2023

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zbMATH Keywords

robust optimal problem

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proportional reinsurance

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delay

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dependent risk

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exponential utility

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MaRDI profile type

MaRDI publication profile

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cites work

Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model

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Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model

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Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

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Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence

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Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles

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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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Optimal proportional reinsurance and investment with minimum probability of ruin

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Robust optimal reinsurance-investment strategy with price jumps and correlated claims

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Constant elasticity of variance model for proportional reinsurance and investment strategies

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

0 references

Aspects of risk theory

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Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities

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Optimal portfolios with stochastic interest rates and defaultable assets.

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Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model

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

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Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model

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Minimizing the probability of ruin: optimal per-loss reinsurance

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Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin

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Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model

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Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence

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Optimal dynamic reinsurance with dependent risks: variance premium principle

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Robust optimal investment and reinsurance for an insurer with inside information

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On minimizing the ruin probability by investment and reinsurance

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Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach

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Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk

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A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling

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Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market

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Optimal investment for insurer with jump-diffusion risk process

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Optimal mean-variance reinsurance with delay and multiple\\ classes of dependent risks

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

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

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Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps

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Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps

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Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks

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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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Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer

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Identifiers

DOI

10.1080/03610926.2022.2072516

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Mathematics Subject Classification ID

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Sitelinks

Mathematics(1 entry)

mardi Publication:6060868

@@ Property / cites work @@
+Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
+Normal rank
@@ Property / cites work @@
+Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
+Normal rank
@@ Property / cites work @@
+Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance problems with common shock dependent risks under two kinds of premium principles
+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 @@
+Optimal proportional reinsurance and investment with minimum probability of ruin
+Normal rank
@@ Property / cites work @@
+Robust optimal reinsurance-investment strategy with price jumps and correlated claims
+Normal rank
@@ Property / cites work @@
+Constant elasticity of variance model for proportional reinsurance and investment strategies
+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 @@
+Aspects of risk theory
@@ Property / cites work: Aspects of risk theory / rank @@
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
+Normal rank
@@ Property / cites work @@
+Optimal portfolios with stochastic interest rates and defaultable assets.
+Normal rank
@@ Property / cites work @@
+Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
+Normal rank
@@ Property / cites work @@
+Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
+Normal rank
@@ Property / cites work @@
+Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
+Normal rank
@@ Property / cites work @@
+Minimizing the probability of ruin: optimal per-loss reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
+Normal rank
@@ Property / cites work @@
+Optimal dynamic reinsurance with dependent risks: variance premium principle
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance for an insurer with inside information
+Normal rank
@@ Property / cites work @@
+On minimizing the ruin probability by investment and reinsurance
+Normal rank
@@ Property / cites work @@
+Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
+Normal rank
@@ Property / cites work @@
+Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
+Normal rank
@@ Property / cites work @@
+A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
+Normal rank
@@ Property / cites work @@
+Optimal investment for insurer with jump-diffusion risk process
+Normal rank
@@ Property / cites work @@
+Optimal mean-variance reinsurance with delay and multiple\\ classes of dependent risks
+Normal rank
@@ Property / cites work @@
+Optimal time-consistent investment and reinsurance policies for mean-variance insurers
+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 @@
+Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
+Normal rank
@@ Property / cites work @@
+Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
+Normal rank
@@ Property / cites work @@
+Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
+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
@@ Property / cites work @@
+Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
+Normal rank