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

DOI10.1051/RO/2021182zbMATH Open1482.91185OpenAlexW4200600246MaRDI QIDQ5034784FDOQ5034784

Authors: Sheng Li 

Publication date: 21 February 2022

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

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

Recommendations

• Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
• Robust optimal reinsurance and investment strategies with delay and default risk in a jump-diffusion financial market with common shock dependence
• Equilibrium reinsurance-investment strategies with partial information and common shock dependence
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Robust optimal reinsurance-investment strategy with price jumps and correlated claims

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)

Cited In (8)

• Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
• The investment and reinsurance game of insurers and reinsurers with default risk under CEV model
• Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
• Equilibrium reinsurance-investment strategy with a common shock under two kinds of premium principles
• 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 strategies with partial information and common shock dependence

This page was built for publication: Robust equilibrium investment and reinsurance strategy with bounded memory and common shock dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5034784)