Worst case model risk management

DOI10.1007/S007800200074zbMATH Open1039.91031OpenAlexW2056197533MaRDI QIDQ1424697FDOQ1424697

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

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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)

Cited In (28)

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• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
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• Worst-case investment and reinsurance optimization for an insurer under model uncertainty
• Optimal portfolios in the presence of stress scenarios a worst-case approach
• Robust utility maximization with Lévy processes
• Lifetime consumption and investment for worst-case crash scenarios
• Robust optimal control for a consumption-investment problem
• 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
• A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models
• Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs
• 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
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Robust mean-variance hedging and pricing of contingent claims in a one period model
• The application of nonlinear fuzzy parameters PDE method in pricing and hedging European options
• Stochastic target games and dynamic programming via regularized viscosity solutions
• Equilibrium strategies for alpha-maxmin expected utility maximization
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach

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