Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
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Publication:2015626
DOI10.1016/J.INSMATHECO.2013.08.011zbMATH Open1290.91103OpenAlexW2080914628MaRDI QIDQ2015626FDOQ2015626
Authors: Bo Yi, Frederi Viens, Yan Zeng, Zhongfei Li 
Publication date: 23 June 2014
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2013.08.011
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stochastic volatilityutility maximizationrobust optimal controlambiguity-averse insurerreinsurance and investment strategy
Stochastic programming (90C15) Brownian motion (60J65) Stochastic models in economics (91B70) Interest rates, asset pricing, etc. (stochastic models) (91G30)
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Cited In (only showing first 100 items - show all)
- 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
- 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 equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- 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
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Robust portfolio selection for individuals: minimizing the probability of lifetime ruin
- 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
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Time-consistency of optimal investment under smooth ambiguity
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- 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 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
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- 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
- Optimal risk exposure and dividend payout policies under model uncertainty
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- Feedback optimal controllers for the Heston model
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- Optimal investment and premium control for insurers with ambiguity
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- Stochastic differential game for management of non-renewable fishery resource under model ambiguity
- Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
- Optimal management of DC pension plan in a stochastic interest rate and stochastic volatility framework
- Stock return uncertainty and life insurance
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause
- A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market
- Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Dynamic portfolio selection with mispricing and model ambiguity
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