Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
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Cites work
- A Smooth Model of Decision Making under Ambiguity
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Constant elasticity of variance model for proportional reinsurance and investment strategies
- Decreasing aversion under ambiguity
- Intertemporal substitution and recursive smooth ambiguity preferences
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Optimal reinsurance and investment strategies for insurer under interest rate and inflation risks
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Robust reinsurance contracts with uncertainty about jump risk
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk
Cited in
(15)- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Time-consistent longevity hedging with long-range dependence
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Robust reinsurance contract with learning and ambiguity aversion
- Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
- Time-consistent reinsurance-investment strategies for insurer and reinsurer under jump-diffusion and volatility risks
- Stackelberg equilibrium reinsurance contract with smooth ambiguity under thinning-dependence framework
- Robust time-consistent reinsurance-investment strategy with model uncertainty under 4/2 stochastic volatility model
- Time-consistent per-loss reinsurance and investment strategies in correlated markets with smooth ambiguity
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