Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
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Publication:2010903
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Cites work
- scientific article; zbMATH DE number 1051049 (Why is no real title available?)
- scientific article; zbMATH DE number 1099342 (Why is no real title available?)
- Aspects of risk theory
- Equilibrium excess-of-loss reinsurance-investment strategy for a mean-variance insurer under stochastic volatility model
- Optimal combining quota-share and excess of loss reinsurance to maximize the expected utility
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Optimal investment and reinsurance for an insurer under Markov-modulated financial market
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal mean-variance investment and reinsurance problems for the risk model with common shock dependence
- Optimal mean-variance reinsurance with common shock dependence
- Optimal portfolios with stochastic interest rates and defaultable assets.
- Optimal proportional reinsurance and investment based on Hamilton-Jacobi-Bellman equation
- Optimal proportional reinsurance with common shock dependence
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Optimal reinsurance under dynamic VaR constraint
- 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
- 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 excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Robust time-inconsistent stochastic control problems
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Cited in
(18)- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Robust optimal investment strategy of an insurer and a reinsurer with stochastic interest rate and stochastic volatility
- Revisiting optimal investment strategies of value-maximizing insurance firms
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
- Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
- scientific article; zbMATH DE number 6129667 (Why is no real title available?)
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Alpha-robust mean-variance reinsurance-investment strategy
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Robust investment-reinsurance optimization with multiscale stochastic volatility
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