Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
From MaRDI portal
Publication:4595864
DOI10.1080/03610926.2016.1242734zbMATH Open1386.91082OpenAlexW2535100518MaRDI QIDQ4595864FDOQ4595864
Authors: Ya Huang, Jieming Zhou, Xiangqun Yang 
Publication date: 6 December 2017
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2016.1242734
Recommendations
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Optimal proportional reinsurance-investment policies for an insurer under capital-at-risk constraint
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- scientific article; zbMATH DE number 6129554
- Optimal proportional reinsurance and investment with minimizing ruin probability
Cited In (20)
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- Robust optimal investment strategy of an insurer and a reinsurer with stochastic interest rate and stochastic volatility
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
- Robust non-zero-sum investment and reinsurance game with default risk
- Robust optimal strategies towards joint interests of the insurer and the reinsurer with a square-root factor process
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Optimal reinsurance and investment problem with default risk and bounded memory
- 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
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion
- Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process
- Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer
This page was built for publication: Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4595864)
