Alpha-robust mean-variance reinsurance-investment strategy
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Publication:1656367
DOI10.1016/J.JEDC.2016.07.001zbMath1401.91521OpenAlexW2467700965MaRDI QIDQ1656367
Dewen Xiong, Danping Li, Bin Li
Publication date: 10 August 2018
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2016.07.001
mean-variance criteriontime-consistent equilibrium strategy\(\alpha\)-maxmin utilityLévy insurance modelrobust reinsurance-investment problem
Related Items (23)
The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors ⋮ Optimal reinsurance problems with extrapolative claim expectation ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion ⋮ Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion ⋮ Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ Reinsurance-investment game between two mean-variance insurers under model uncertainty ⋮ A continuous-time theory of reinsurance chains ⋮ Unnamed Item ⋮ A dynamic pricing game for general insurance market ⋮ Mean-CVaR portfolio selection model with ambiguity in distribution and attitude ⋮ Robust reinsurance contracts with uncertainty about jump risk ⋮ Derivatives trading for insurers ⋮ Revisiting optimal investment strategies of value-maximizing insurance firms ⋮ Alpha-robust mean-variance reinsurance and investment strategies with transaction costs ⋮ Reinsurance contracts under Stackelberg game and market equilibrium ⋮ Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization ⋮ Optimal proportional reinsurance with a loss-dependent premium principle ⋮ Robust optimal reinsurance-investment strategy with price jumps and correlated claims ⋮ Optimal reinsurance-investment strategy for a dynamic contagion claim model ⋮ Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity
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