Robust optimal investment and reinsurance problem for a general insurance company under Heston model
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Publication:2014373
DOI10.1007/S00186-017-0570-8zbMATH Open1414.91203OpenAlexW2587186269MaRDI QIDQ2014373FDOQ2014373
Authors: Ya Huang, Xiangqun Yang, Jieming Zhou 
Publication date: 11 August 2017
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00186-017-0570-8
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Sensitivity (robustness) (93B35) Stochastic models in economics (91B70) Optimal stochastic control (93E20)
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 excess-of-loss reinsurance and investment problem with delay and dependent risks
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Optimal risk exposure and dividend payout policies under model uncertainty
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Robust optimal investment problem with delay under Heston's model
- 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
- Robust equilibrium strategies in a defined benefit pension plan game
- Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
- Optimal investment and risk control policies for an insurer in an incomplete market
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- Robust stochastic Stackelberg differential reinsurance and investment games for an insurer and a reinsurer with delay
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- A Stackelberg reinsurance-investment game under Heston's stochastic volatility model
- Investigations to the optimal derivative-based investment and proportional reinsurance strategies
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
- Robust classical-impulse stochastic control problems in an infinite horizon
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- 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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