Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
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Cites work
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- Aspects of risk theory
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- 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
- Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
- Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
- Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
- Optimal investment-reinsurance policy for an insurance company with VaR constraint
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
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- 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
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- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
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- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
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- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
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- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
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- Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
- Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
Cited in
(5)- Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
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