Alpha-robust mean-variance reinsurance-investment strategy
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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
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- Benchmark and mean-variance problems for insurers
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- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
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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
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