Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
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Publication:333902
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Cites work
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- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal portfolios with stochastic interest rates and defaultable assets.
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
- Portfolio optimization with a defaultable security
- Robust consumption and portfolio choice for time varying investment opportunities
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- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
Cited in
(57)- 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
- The equilibrium analysis on the insurance, reinsurance and investment in an Ornstein-Uhlenbeck model
- Non-zero-sum reinsurance and investment game with non-trivial curved strategy structure under Ornstein–Uhlenbeck process
- Robust reinsurance and investment strategies under principal-agent framework
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
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- Robust optimal consumption-investment strategy with non-exponential discounting
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- Optimal excess-of-loss reinsurance and investment with stochastic factor process
- 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 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
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- Robust optimal reinsurance in minimizing the penalized expected time to reach a goal
- The optimal reinsurance-investment problem considering the joint interests of an insurer and a reinsurer under HARA utility
- scientific article; zbMATH DE number 6531919 (Why is no real title available?)
- Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- 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
- Asymptotic behavior of an optimal investment-reinsurance problem with general utility functions
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Risk minimization for an insurer with investment and reinsurance via g-expectation
- Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
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- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- 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
- Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
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- Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint
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- Robust optimal investment and reinsurance for an insurer with inside information
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- scientific article; zbMATH DE number 7156564 (Why is no real title available?)
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Robust optimal asset-liability management with penalization on ambiguity
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
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