Robust equilibrium investment and reinsurance strategy with bounded memory and common shock dependence

DOI10.1051/RO/2021182MaRDI QIDQ5034784zbMATH OpenOpenAlexFDO

Authors Sheng Li

Publication date 21 February 2022

Published in RAIRO - Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1051/ro/2021182

zbMATH Keywords

game theorymean-variancejump-diffusionrobust investment and reinsurancetwo-dimensional claim

Mathematics Subject Classification ID

Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

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(8)

• The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
• Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
• Robust optimal reinsurance-investment strategy with price jumps and correlated claims
• Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
• Robust optimal reinsurance and investment strategies with delay and default risk in a jump-diffusion financial market with common shock dependence
• Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles
• Equilibrium reinsurance-investment strategies with partial information and common shock dependence
• Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks

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