Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
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Publication:2084302
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Cites work
- Aspects of risk theory
- scientific article; zbMATH DE number 3978066 (Why is no real title available?)
- scientific article; zbMATH DE number 852301 (Why is no real title available?)
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- Minimizing the probability of lifetime ruin under ambiguity aversion
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- On minimizing drawdown risks of lifetime investments
- Optimal combination of quota-share and stop-loss reinsurance treaties under the joint survival probability
- Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
- OPTIMAL INVESTMENT STRATEGIES FOR CONTROLLING DRAWDOWNS
- Optimal investment to minimize the probability of drawdown
- Optimal lifetime consumption and investment under a drawdown constraint
- Optimal mean-variance reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal non-proportional reinsurance control
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal reinsurance and investment in danger-zone and safe-region
- Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
- Survival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Time-consistent reinsurance-investment strategy for an insurer and a reinsurer with mean-variance criterion under the CEV model
Cited in
(8)- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
- Minimizing the probability of absolute ruin under ambiguity aversion
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Optimal investment and proportional reinsurance strategies to minimize the probability of drawdown under ambiguity aversion
- Time-consistent mean-variance risk sharing and reinsurance for an insurance group in a Stackelberg differential game
- Equilibrium per-loss reinsurance strategy with delay factors and ambiguity aversion under the cooperation framework
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