Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
From MaRDI portal
Publication:6534590
Recommendations
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Mean-variance problem for an insurer with default risk under a jump-diffusion risk model
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
Cites work
- A stochastic volatility model and optimal portfolio selection
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach
- Dynamic portfolio optimization with a defaultable security and regime-switching
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- On a perturbed compound Poisson risk model under a periodic threshold-type dividend strategy
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model
- Optimal investment and proportional reinsurance for a jump-diffusion risk model with constrained control variables
- Optimal investment and reinsurance of an insurer with model uncertainty
- Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment strategies for an insurer and a reinsurer with a jump diffusion risk process under the CEV model
- Optimal investment-reinsurance strategy for mean-variance insurers with square-root factor process
- Optimal proportional reinsurance and investment for a constant elasticity of variance model under variance principle
- Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
- Optimal reinsurance and investment problem for an insurer with counterparty risk
- Optimal reinsurance and investment with unobservable claim size and intensity
- Optimal reinsurance-investment problem in a constant elasticity of variance stock market for jump-diffusion risk model
- Portfolio optimization with a defaultable security
- Risk sensitive portfolio optimization with default contagion and regime-switching
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Robust portfolio choice with stochastic interest rates
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Stochastic differential games between two insurers with generalized mean-variance premium principle
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Stochastic portfolio optimization with default risk
- Time-consistent investment-reinsurance strategy for mean-variance insurers with a defaultable security
- Valuing equity-linked death benefits in general exponential Lévy models
This page was built for publication: Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6534590)
