Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
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Publication:4583607
DOI10.1080/03461238.2017.1309679zbMATH Open1416.91203OpenAlexW2604888066MaRDI QIDQ4583607FDOQ4583607
Authors: Danping Li, Yan Zeng, Hailiang Yang 
Publication date: 31 August 2018
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2017.1309679
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Cited In (65)
- Optimal excess-of-loss reinsurance and investment with stochastic factor process
- Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
- Reinsurance contract design with heterogeneous beliefs and learning
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Actuarial pricing with financial methods
- Optimal proportional reinsurance and investment for stochastic factor models
- Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
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- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
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- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
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- Robust reinsurance contracts with risk constraint
- A reinsurance and investment game between two insurers under the CEV model
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Minimizing the probability of absolute ruin under ambiguity aversion
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- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
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- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
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- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
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- Optimal time-consistent social health insurance and private health insurance strategy under a new health insurance framework
- Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
- Optimal investment in a general stochastic factor framework under model uncertainty
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Optimal investment-reinsurance strategies for an insurer with options trading under model ambiguity
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