Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
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Publication:5079461
DOI10.1080/03610926.2019.1646765OpenAlexW2965839866MaRDI QIDQ5079461FDOQ5079461
Hui Zhao, Peiqi Wang, Yajie Wang, Ximin Rong
Publication date: 27 May 2022
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2019.1646765
model ambiguityproportional insurancejoint expected utilitymispricing phenomenonoptimal insurance-investment strategy
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Cited In (3)
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
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