Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
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Publication:333902
DOI10.1016/J.JMAA.2016.09.053zbMATH Open1348.91183OpenAlexW2529042449MaRDI QIDQ333902FDOQ333902
Xiaoxiao Zheng, Xin Zhang, Zhongyang Sun
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
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- scientific article; zbMATH DE number 7156564
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investment and reinsurancerobust optimal controlCARA utilitydefaultable bonddynamic programming approach
Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)
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Cited In (55)
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
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- The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
- Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
- Robust reinsurance and investment strategies under principal-agent framework
- Optimal excess-of-loss reinsurance and investment with stochastic factor process
- 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
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- A BSDE approach to a class of dependent risk model of mean-variance insurers with stochastic volatility and no-short selling
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
- Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- 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
- Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Maximizing a robust goal-reaching probability with penalization on ambiguity
- Robust non-zero-sum investment and reinsurance game with default risk
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Robust optimal investment and reinsurance for an insurer with inside information
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
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- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Mean-variance asset-liability management with affine diffusion factor process and a reinsurance option
- Robust optimal investment and benefit payment adjustment strategy for target benefit pension plans under default risk
- Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- 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
- Robust optimal asset-liability management with penalization on ambiguity
- Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
- Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps
- Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment
- Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
- Title not available (Why is that?)
- Robust optimal consumption-investment strategy with non-exponential discounting
- 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
- 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
- Alpha-robust mean-variance reinsurance-investment strategy
- Optimal mean-variance investment and reinsurance problem for an insurer with stochastic volatility
- Risk minimization for an insurer with investment and reinsurance via g-expectation
- Optimization problem of insurance investment based on spectral risk measure and RAROC criterion
- Solution of Hamilton-Jacobi-Bellman equation in optimal reinsurance strategy under dynamic VaR constraint
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