Optimal robust reinsurance contracts with investment strategy under variance premium principle

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DOI10.3934/mcrf.2023001MaRDI QIDQ6127349

Zhaojun Yang, Wu-Yuan Jiang

Publication date: 12 April 2024

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

zbMATH Keywords

principal-agent problem model ambiguity constant elasticity of variance model CARA utility reinsurance and investment

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Actuarial mathematics (91G05)

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