Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
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Publication:506097
DOI10.1016/J.INSMATHECO.2016.11.007zbMATH Open1394.91216OpenAlexW2565508781MaRDI QIDQ506097FDOQ506097
Authors: Ailing Gu, Frederi Viens, Bo Yi 
Publication date: 31 January 2017
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.11.007
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Cites Work
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Cited In (25)
- Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- Time-consistency of optimal investment under smooth ambiguity
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- Robust optimal investment and reinsurance problems with learning
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Stochastic differential game for management of non-renewable fishery resource under model ambiguity
- REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Title not available (Why is that?)
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- Optimal payout strategies when Bruno de Finetti meets model uncertainty
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