Robust optimal investment and reinsurance problems with learning
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Publication:4990504
DOI10.1080/03461238.2020.1806917zbMath1468.91121arXiv2001.11301OpenAlexW3003714559MaRDI QIDQ4990504
Gregor Leimcke, Nicole Bäuerle
Publication date: 28 May 2021
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2001.11301
Related Items (10)
Bayesian optimal investment and reinsurance with dependent financial and insurance risks ⋮ Limit equations of adaptive Erlangization and their application to environmental management ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ Actuarial pricing with financial methods ⋮ Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model ⋮ Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift ⋮ Optimal investment strategy for an insurer with partial information in capital and insurance markets ⋮ Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables ⋮ Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
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