Alpha-robust mean-variance reinsurance-investment strategy
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Publication:1656367
DOI10.1016/J.JEDC.2016.07.001zbMATH Open1401.91521OpenAlexW2467700965MaRDI QIDQ1656367FDOQ1656367
Authors: Bin Li, Danping Li, Dewen Xiong 
Publication date: 10 August 2018
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2016.07.001
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mean-variance criteriontime-consistent equilibrium strategy\(\alpha\)-maxmin utility[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=L%EF%BF%BD%EF%BF%BDvy+insurance+model&go=Go L��vy insurance model]robust reinsurance-investment problem
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Cited In (23)
- Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion
- 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
- Robust reinsurance contracts with uncertainty about jump risk
- Derivatives trading for insurers
- Optimal proportional reinsurance with a loss-dependent premium principle
- Revisiting optimal investment strategies of value-maximizing insurance firms
- Optimal reinsurance problems with extrapolative claim expectation
- A continuous-time theory of reinsurance chains
- A dynamic pricing game for general insurance market
- The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors
- Stackelberg differential game for insurance under model ambiguity
- Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
- Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
- Reinsurance contracts under Stackelberg game and market equilibrium
- Optimal reinsurance-investment strategy for a dynamic contagion claim model
- Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
- Title not available (Why is that?)
- Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion
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