Robust optimal asset–liability management with delay and ambiguity aversion in a jump-diffusion market
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Publication:6089801
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Cites work
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- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
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- Robust optimal investment problem with delay under Heston's model
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- Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
Cited in
(8)- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
- Non-zero-sum stochastic differential games for asset-liability management with stochastic inflation and stochastic volatility
- Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
- Stochastic differential games on robust optimal asset-liability management with delay under the CEV model
- Equilibrium per-loss reinsurance strategy with delay factors and ambiguity aversion under the cooperation framework
- Robust Nash equilibrium for asset-liability management games under money illusion and mean-reverting return
- Time-consistent reinsurance-investment hybrid game with delay and default under jump-diffusion model
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