Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
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Publication:2010903
DOI10.1016/J.INSMATHECO.2019.09.006zbMATH Open1427.91242OpenAlexW2978836765WikidataQ127188933 ScholiaQ127188933MaRDI QIDQ2010903FDOQ2010903
Jingyun Sun, Zhilin Kang, Haixiang Yao
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.2019.09.006
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robust optimal controlutility losssuboptimal strategysquare-root factor processambiguity-averse insurermultiple dependent risks
Cites Work
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Cited In (14)
- Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Revisiting optimal investment strategies of value-maximizing insurance firms
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
- Title not available (Why is that?)
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Alpha-robust mean-variance reinsurance-investment strategy
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