Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
From MaRDI portal
(Redirected from Publication:506097)
Recommendations
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- The optimal investment and reinsurance problem with mispricing and VaR constrains based on behavior of loss aversion
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Optimal investment and premium control for insurers with ambiguity
Cites work
- scientific article; zbMATH DE number 3364606 (Why is no real title available?)
- Aspects of risk theory
- Benchmark and mean-variance problems for insurers
- On a Classical Risk Model with a Constant Dividend Barrier
- On maximizing the expected terminal utility by investment and reinsurance
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal investment and reinsurance for insurers with uncertain time-horizon
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Portfolio management with stochastic interest rates and inflation ambiguity
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Robust consumption and portfolio choice for time varying investment opportunities
- 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 optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Worst-case-optimal dynamic reinsurance for large claims
Cited in
(27)- Analysis and computation of an optimality equation arising in an impulse control problem with discrete and costly observations
- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
- REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE
- Optimal payout strategies when Bruno de Finetti meets model uncertainty
- 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
- Optimal reinsurance and investment under common shock dependence between financial and actuarial markets
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- scientific article; zbMATH DE number 6129667 (Why is no real title available?)
- Stochastic differential investment and reinsurance games with nonlinear risk processes and VaR constraints
- Optimal investment strategy for a DC pension plan with mispricing under the Heston model
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Robust optimal investment and reinsurance problems with learning
- Time-consistency of optimal investment under smooth ambiguity
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
- Optimal investment and premium control for insurers with ambiguity
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
- The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
This page was built for publication: Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q506097)
