Time-consistent proportional reinsurance and investment strategies under ambiguous environment
From MaRDI portal
Publication:1622519
DOI10.1016/j.insmatheco.2018.09.007zbMath1417.91269OpenAlexW2894567178WikidataQ129151057 ScholiaQ129151057MaRDI QIDQ1622519
Zongxia Liang, Guohui Guan, Jian Feng
Publication date: 19 November 2018
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2018.09.007
proportional reinsurancetime-consistent strategyoptimal investmentequilibrium control lawsmooth ambiguity control
Related Items
Robust equilibrium strategies in a defined benefit pension plan game, Time-consistent lifetime portfolio selection under smooth ambiguity, A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment, Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility, Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment, Optimal investment and proportional reinsurance strategy under the mean-reverting Ornstein-Uhlenbeck process and net profit condition, Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
Cites Work
- Constant elasticity of variance model for proportional reinsurance and investment strategies
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Optimal financing and dividend control of the insurance company with proportional reinsurance policy
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- On minimizing the ruin probability by investment and reinsurance
- Viscosity solution and impulse control of the diffusion model with reinsurance and fixed transaction costs
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Optimal reinsurance-investment problem for maximizing the product of the insurer's and the reinsurer's utilities under a CEV model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- An optimal investment strategy with maximal risk aversion and its ruin probability in the presence of stochastic volatility on investments
- Optimal control of the insurance company with proportional reinsurance policy under solvency constraints
- Ambiguity, Learning, and Asset Returns
- Intertemporal substitution and recursive smooth ambiguity preferences
- Optimal Risk Control for The Excess of Loss Reinsurance Policies
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
- A Smooth Model of Decision Making under Ambiguity
- Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
