Robust optimal investment and reinsurance for an insurer with inside information
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Publication:2656984
DOI10.1016/J.INSMATHECO.2020.10.004zbMATH Open1460.91236OpenAlexW3094530099MaRDI QIDQ2656984FDOQ2656984
Authors: Fenge Chen, Wenyuan Wang, Xingchun Peng 
Publication date: 17 March 2021
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.10.004
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Cites Work
- The Malliavin Calculus and Related Topics
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- On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures
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- Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information
- A reinsurance and investment game between two insurance companies with the different opinions about some extra information
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- Stochastic differential games with inside information
Cited In (18)
- Uncertainty and inside information
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Expected utility maximization for an insurer with investment and risk control under inside information
- Closed-loop equilibrium reinsurance-investment strategy with insider information and default risk
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Optimal proportional reinsurance and investment problem with jump-diffusion risk process under effect of inside information
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Robust optimal investment and reinsurance problems with learning
- Optimal investment and risk control for an insurer under inside information
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Optimal portfolio and reinsurance with two differential risky assets
- Equilibrium investment-reinsurance strategy under information asymmetry and random horizon
- A non-zero-sum stochastic differential game between two mean-variance insurers with inside information
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
- A two-layer stochastic game approach to reinsurance contracting and competition
- Optimal time-consistent investment and reinsurance strategy for mean-variance insurers under the inside information
- Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
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