Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
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Publication:282274
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Cited in
(63)- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
- Robust equilibrium investment-reinsurance strategy for n competitive insurers with square-root factor process
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
- Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
- Optimal control of investment, premium and deductible for a non-life insurance company
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Robust optimal strategies of DC pension plans with stochastic volatility and stochastic income under mean-variance criteria
- Asymptotic solution of optimal reinsurance and investment problem with correlation risk for an insurer under the CEV model
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Optimal investment strategy for a family with a random household expenditure under the CEV model
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- Robust time-consistent portfolio selection for an investor under CEV model with inflation influence
- Robust optimal portfolio and reinsurance for an insurer under inflation risk
- Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
- Expected utility maximization for an insurer with investment and risk control under inside information
- Contagion modeling between the financial and insurance markets with time changed processes
- Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
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- Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Robust optimal investment and reinsurance problems with learning
- Robust Control Problems of BSDEs Coupled with Value Functions
- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Optimal risk exposure and dividend payout policies under model uncertainty
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
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- A Stackelberg reinsurance-investment game with asymmetric information and delay
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Robust optimal investment and reinsurance for an insurer with inside information
- Optimal investment and risk control policies for an insurer in an incomplete market
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Optimal reinsurance and investment problem with default risk and bounded memory
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Continuous-time optimal reinsurance strategy with nontrivial curved structures
- Optimal investment policy for insurers under the constant elasticity of variance model with a correlated random risk process
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