Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
From MaRDI portal
Publication:6102883
DOI10.3934/jimo.2023036zbMath1524.91095MaRDI QIDQ6102883
Publication date: 23 June 2023
Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)
Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)
Related Items (1)
Cites Work
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Optimal proportional reinsurance and investment with minimum probability of ruin
- Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Optimal reinsurance and investment with unobservable claim size and intensity
- Robust optimal reinsurance-investment strategy with price jumps and correlated claims
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
- Aspects of risk theory
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Robust non-zero-sum investment and reinsurance game with default risk
- Optimal portfolios with stochastic interest rates and defaultable assets.
- Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
- Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- A hybrid stochastic differential reinsurance and investment game with bounded memory
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
- Robust optimal investment and reinsurance for an insurer with inside information
- Optimal reinsurance and investment problem with default risk and bounded memory
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
- Robust optimal investment and reinsurance problems with learning
- Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
- Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
This page was built for publication: Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps