Worst case model risk management

DOI10.1007/S007800200074MaRDI QIDQ1424697zbMATH OpenOpenAlexFDO

Authors Denis Talay, Ziyu Zheng

Publication date 16 March 2004

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s007800200074

zbMATH Keywords

Hamilton-Jacobi-Bellman-Isaacs equationmodel riskstochastic differential game

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Differential games (aspects of game theory) (91A23) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic games, stochastic differential games (91A15) Stochastic models in economics (91B70)

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Cited in

(28)

• Equilibrium strategies for alpha-maxmin expected utility maximization
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach
• Consumption-investment problem with pathwise ambiguity under logarithmic utility
• Optimal arbitrage under model uncertainty
• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
• Optimal portfolios in the presence of stress scenarios a worst-case approach
• Worst-case investment and reinsurance optimization for an insurer under model uncertainty
• Robust optimal control for a consumption-investment problem
• Robust utility maximization with Lévy processes
• Lifetime consumption and investment for worst-case crash scenarios
• Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
• Mean-variance problem for an insurer with dependent risks and stochastic interest rate in a jump-diffusion market
• Robust utility maximization for a diffusion market model with misspecified coefficients
• Robust portfolio optimization with a generalized expected utility model under ambiguity
• Utility maximization under model uncertainty in discrete time
• Robust utility maximization under model uncertainty via a penalization approach
• A robust investment-consumption optimization problem in a switching regime interest rate setting
• Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
• A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
• Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
• OPTIMAL PORTFOLIOS WITH LOWER PARTIAL MOMENT CONSTRAINTS AND LPM‐RISK‐OPTIMAL MARTINGALE MEASURES
• Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
• A note on the worst case approach for a market with a stochastic interest rate
• Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
• Robust mean-variance hedging and pricing of contingent claims in a one period model
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
• Stochastic target games and dynamic programming via regularized viscosity solutions

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