Robust reinsurance contract with learning and ambiguity aversion
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Publication:5042791
Recommendations
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- Robust reinsurance contracts with risk constraint
Cites work
- A class of non-zero-sum stochastic differential investment and reinsurance games
- A Stackelberg reinsurance-investment game with asymmetric information and delay
- A stochastic differential reinsurance game
- Aspects of risk theory
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- scientific article; zbMATH DE number 1546853 (Why is no real title available?)
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- On minimizing the ruin probability by investment and reinsurance
- On optimal reinsurance treaties in cooperative game under heterogeneous beliefs
- Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Optimal investment and reinsurance policies in insurance markets under the effect of inside information
- Optimal proportional reinsurance and investment for stochastic factor models
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Optimal reinsurance under mean-variance premium principles
- Optimal reinsurance under risk and uncertainty
- Optimal reinsurance under the mean-variance premium principle to minimize the probability of ruin
- Pareto-optimal reinsurance arrangements under general model settings
- PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
- Risk, ambiguity and the Savage axioms
- Robust consumption and portfolio policies when asset prices can jump
- Robust Contracts in Continuous Time
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Robust reinsurance contracts in continuous time
- Robust reinsurance contracts with risk constraint
- Robust reinsurance contracts with uncertainty about jump risk
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
Cited in
(9)- Robust reinsurance contracts with uncertainty about jump risk
- Reinsurance contract design when the insurer is ambiguity-averse
- Robust reinsurance contracts in continuous time
- A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction
- Reinsurance contracts under Stackelberg game and market equilibrium
- Stackelberg equilibrium reinsurance contract with smooth ambiguity under thinning-dependence framework
- Robust optimal investment and reinsurance strategy under Heston model with the generalized variance premium principle
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