Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk

DOI10.1016/j.jmaa.2016.09.053zbMath1348.91183OpenAlexW2529042449MaRDI QIDQ333902

Xiaoxiao Zheng, Zhongyang Sun, Xin Zhang

Publication date: 31 October 2016

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2016.09.053

zbMATH Keywords

defaultable bondinvestment and reinsurancerobust optimal controlCARA utilitydynamic programming approach

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

Related Items

Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility, Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint, Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market, Optimal excess-of-loss reinsurance and investment with stochastic factor process, Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions, Mean-variance problem for an insurer with default risk under a jump-diffusion risk model, Risk minimization for an insurer with investment and reinsurance via g-expectation, Robust optimal asset-liability management with penalization on ambiguity, 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, Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon, Robust optimal investment and reinsurance for an insurer with inside information, Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion, Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks, Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle, Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market, Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps, Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps, Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process, Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk, Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps, 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, The investment and reinsurance game of insurers and reinsurers with default risk under CEV model, Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model, Unnamed Item, Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility, Optimal mean-variance reinsurance in a financial market with stochastic rate of return, Optimal reinsurance and investment strategies for an insurer and a reinsurer under Hestons SV model: HARA utility and Legendre transform, Maximizing a robust goal-reaching probability with penalization on ambiguity, Robust non-zero-sum investment and reinsurance game with default risk, Robust optimal reinsurance and investment strategies for an AAI with multiple risks, Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion, Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility, Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities, Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option, Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks, Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks, Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment, Robust optimal investment and reinsurance of an insurer under jump-diffusion models, Robust optimal reinsurance in minimizing the penalized expected time to reach a goal, A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling, The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility, Robust optimal consumption-investment strategy with non-exponential discounting, Household consumption-investment-insurance decisions with uncertain income and market ambiguity, Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk

Cites Work

• Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
• Optimal investment and consumption with default risk: HARA utility
• Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
• Optimal investment and reinsurance of an insurer with model uncertainty
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Robust consumption and portfolio choice for time varying investment opportunities
• Benchmark and mean-variance problems for insurers
• Optimal investment for insurer with jump-diffusion risk process
• Multiperiod portfolio optimization models in stochastic markets using the mean--variance approach
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• On minimizing the ruin probability by investment and reinsurance
• Optimal portfolios with stochastic interest rates and defaultable assets.
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Optimal reinsurance and investment problem for an insurer with counterparty risk
• Optimal consumption and portfolio choice with ambiguity and anticipation
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• Portfolio optimization with a defaultable security
• An optimal portfolio problem in a defaultable market
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Ambiguity, Risk, and Asset Returns in Continuous Time
• A discussion of parameter and model uncertainty in insurance
• Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security