Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
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Publication:5140643
DOI10.1080/03461238.2020.1719880zbMATH Open1451.91167OpenAlexW3004512764MaRDI QIDQ5140643FDOQ5140643
Authors: Guohui Guan, Xiao-Jun Wang 
Publication date: 16 December 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2020.1719880
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investmentNash equilibriumproportional reinsurancesmooth ambiguitytime-consistent strategyexcess-of-loss reinsurance
Cites Work
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- A theory of Markovian time-inconsistent stochastic control in discrete time
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model
- A Smooth Model of Decision Making under Ambiguity
- Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
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- Robust investment-reinsurance optimization with multiscale stochastic volatility
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- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
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- Time-consistent proportional reinsurance and investment strategies under ambiguous environment
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Optimal reinsurance and investment in a jump-diffusion financial market with common shock dependence
- Robust reinsurance contracts with uncertainty about jump risk
Cited In (8)
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- 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
- Robust reinsurance contract with learning and ambiguity aversion
- Time-consistent longevity hedging with long-range dependence
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
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