Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
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Publication:4583607
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- scientific article; zbMATH DE number 3671542 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
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Cited in
(65)- Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework
- 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
- Optimal proportional reinsurance and investment for stochastic factor models
- Actuarial pricing with financial methods
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
- Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints
- Reinsurance games with \(n\) variance-premium reinsurers: from tree to chain
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
- 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
- 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 excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Robust reinsurance contracts with risk constraint
- Optimal investment in a general stochastic factor framework under model uncertainty
- Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model
- 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
- Optimal excess-of-loss reinsurance and investment problem with thinning dependent risks under Heston model
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- 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-reinsurance strategies for an insurer with multiple dependent risks
- Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Optimal reinsurance strategy for an insurer and a reinsurer with generalized variance premium principle
- Optimal reinsurance-investment problem under a CEV model: stochastic differential game formulation
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Robust optimal asset-liability management with penalization on ambiguity
- Optimal excess-of-loss reinsurance and investment strategy under state-dependent utility function
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Optimal dividend and risk control policies in the presence of a fixed transaction cost
- 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
- Optimal investment-reinsurance strategies for an insurer with options trading under model ambiguity
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Reinsurance contract design when the insurer is ambiguity-averse
- Optimal per-loss reinsurance and investment to minimize the probability of drawdown
- REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Non-zero-sum reinsurance and investment game with correlation between insurance market and financial market under CEV model
- Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Optimal management of defined contribution pension funds under the effect of inflation, mortality and uncertainty
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
- Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
- Optimal payout strategies when Bruno de Finetti meets model uncertainty
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
- Robust reinsurance and investment strategies under principal-agent framework
- A two-layer stochastic differential investment and reinsurance game with default risk under the bi-fractional Brownian motion environment
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