Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
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Cited in
(only showing first 100 items - show all)- The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
- Dynamic portfolio selection with mispricing and model ambiguity
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Mean field and \(n\)-insurers games for robust optimal reinsurance-investment in correlated markets
- Robust retirement and life insurance with inflation risk and model ambiguity
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Alpha-robust mean-variance reinsurance-investment strategy
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
- Martingale and duality methods for optimal investment and reinsurance problem in a Lévy model
- A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
- Optimal payout strategies when Bruno de Finetti meets model uncertainty
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Robust reinsurance and investment strategies under principal-agent framework
- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal reinsurance and dividend under model uncertainty
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- Optimal reinsurance-investment with loss aversion under rough Heston model
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Optimal investment strategy for asset-liability management under the Heston model
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Robust portfolio selection for individuals: minimizing the probability of lifetime ruin
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Robust portfolio choice with limited attention
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Time-consistency of optimal investment under smooth ambiguity
- Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Minimizing the probability of absolute ruin under ambiguity aversion
- Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- scientific article; zbMATH DE number 6453031 (Why is no real title available?)
- Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- 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
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Derivatives trading for insurers
- Robust non-zero-sum investment and reinsurance game with default risk
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Optimal risk exposure and dividend payout policies under model uncertainty
- Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model
- Feedback optimal controllers for the Heston model
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Time-Consistent Investment and Reinsurance Strategies for Mean–Variance Insurers in N-Agent and Mean-Field Games
- Robust optimal investment and reinsurance for an insurer with inside information
- Optimal investment and premium control for insurers with ambiguity
- Robust optimal control for derivative-based investment under the Heston model
- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
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- Time-consistent investment strategy for DC pension plan with stochastic salary under CEV model
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- Robust risk-taking under a sustainable constraint
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- Stackelberg differential game for insurance under model ambiguity
- Optimal dividend-distribution strategy under ambiguity aversion
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Optimal consumption and portfolio decision with convertible bond in affine interest rate and Heston's SV framework
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
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- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Stochastic differential game for management of non-renewable fishery resource under model ambiguity
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