Robust optimal investment and reinsurance problem for a general insurance company under Heston model
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Cites work
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Cited in
(27)- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Robust optimal investment strategy of an insurer and a reinsurer with stochastic interest rate and stochastic volatility
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Optimal strategies for target benefit pension plans with longevity risk in ambiguous environments
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- Optimal risk exposure and dividend payout policies under model uncertainty
- Robust optimal investment problem with delay under Heston's model
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust optimal asset-liability management with penalization on ambiguity
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- Investigations to the optimal derivative-based investment and proportional reinsurance strategies
- Optimal payout strategies when Bruno de Finetti meets model uncertainty
- Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process
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