Optimal reinsurance and investment problem with multiple risky assets and correlation risk for an insurer under the Ornstein-Uhlenbeck model

DOI10.1080/03610926.2022.2148470MaRDI QIDQ6541109zbMATH OpenFDO

Authors Ximin Rong, Y. Q. Yan, Hui Zhao

Publication date 17 May 2024

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2022.2148470

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(2)

• Optimal investment problem with multiple risky assets and correlation between risk model and financial market for an insurer under the CEV model
• Optimal investment and risk management strategies considering catastrophe bond issuance under ambiguity aversion

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