Robust optimal reinsurance and investment strategies for an AAI with multiple risks
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Publication:2010895
DOI10.1016/J.INSMATHECO.2019.09.004zbMATH Open1427.91232OpenAlexW2976139434WikidataQ127199510 ScholiaQ127199510MaRDI QIDQ2010895FDOQ2010895
Publication date: 28 November 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.09.004
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Actuarial mathematics (91G05) Portfolio theory (91G10) Financial applications of other theories (91G80) Optimal stochastic control (93E20)
Cites Work
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- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
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- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
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Cited In (12)
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
- The investor problem based on the HJM model
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Robust equilibrium strategies in a defined benefit pension plan game
- Optimal investment-reinsurance strategies for an insurer with options trading under model ambiguity
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- Robust retirement and life insurance with inflation risk and model ambiguity
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
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