Alpha-robust mean-variance reinsurance-investment strategy
From MaRDI portal
(Redirected from Publication:1656367)
Recommendations
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Time-consistent reinsurance and investment strategy selection under mean-variance criterion
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
Cites work
- A Smooth Model of Decision Making under Ambiguity
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Additivity with multiple priors
- Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
- Ambiguity and the Bayesian paradigm
- Applied stochastic control of jump diffusions
- Benchmark and mean-variance problems for insurers
- Continuous-time Markowitz's model with transaction costs
- Differentiating ambiguity and ambiguity attitude
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Dynamic mean-variance problem with constrained risk control for the insurers
- Fluctuations of Lévy processes with applications. Introductory lectures
- Gerber-Shiu risk theory
- Mean-variance portfolio optimization with state-dependent risk aversion
- Minimizing the probability of lifetime ruin under ambiguity aversion
- Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
- Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal reinsurance/investment problems for general insurance models
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Preference and belief: ambibiguity and competence in choice under uncertainty
- Probabilistic Sophistication and Multiple Priors
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Recursive smooth ambiguity preferences
- Risk, ambiguity and the Savage axioms
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Time-consistent mean-variance portfolio selection in discrete and continuous time
- Time-inconsistent stochastic linear-quadratic control
- Time-inconsistent stochastic linear-quadratic control: characterization and uniqueness of equilibrium
- Uncertain dynamics, correlation effects, and robust investment decisions
Cited in
(27)- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- A dynamic pricing game for general insurance market
- The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
- Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
- Reinsurance contracts under Stackelberg game and market equilibrium
- Revisiting optimal investment strategies of value-maximizing insurance firms
- Stackelberg differential game for insurance under model ambiguity
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Optimal proportional reinsurance with a loss-dependent premium principle
- Equilibrium strategies for alpha-maxmin expected utility maximization
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Optimal reinsurance problems with extrapolative claim expectation
- Derivatives trading for insurers
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- \(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
- Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
- Robust reinsurance contracts with uncertainty about jump risk
- A continuous-time theory of reinsurance chains
- A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
This page was built for publication: Alpha-robust mean-variance reinsurance-investment strategy
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1656367)
