Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer

DOI10.3969/J.ISSN.1001-4268.2023.06.006MaRDI QIDQ6559910zbMATH OpenFDO

Authors Yeshunying Wang, Hui Meng, Pu Liao

Publication date 21 June 2024

Published in Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3969/J.ISSN.1001-4268.2023.06.006

zbMATH Keywords

ambiguity-averseextended Hamilton-Jacobi-Bellman system equationsmean-variance reward functionreinsurance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
• Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
• Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility

Cites work

• A reinsurance game between two insurance companies with nonlinear risk processes
• Continuous-time optimal reinsurance strategy with nontrivial curved structures
• scientific article; zbMATH DE number 5846722 (Why is no real title available?)
• Mean-Variance Optimal Reinsurance Arrangements
• Minimizing the probability of absolute ruin under the mean‐variance premium principle
• Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
• On maximizing the expected terminal utility by investment and reinsurance
• On time-inconsistent stochastic control in continuous time
• Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
• Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
• Optimal dynamic reinsurance policies for large insurance portfolios
• Optimal dynamic reinsurance with dependent risks: variance premium principle
• Optimal investment for insurer with jump-diffusion risk process
• Optimal investment for insurers
• Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
• Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
• Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
• Optimal proportional reinsurance with common shock dependence
• Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
• Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
• Optimal reinsurance under mean-variance premium principles
• Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle
• Reinsurance contract design when the insurer is ambiguity-averse
• Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• 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 portfolio rules and detection-error probabilities for a mean-reverting risk premium
• Robust reinsurance contracts with uncertainty about jump risk
• Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
• Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
• Upper bound for ruin probabilities under optimal investment and proportional reinsurance

Cited in

(1)

• Equilibrium reinsurance strategy and mean residual life function

This page was built for publication: Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6559910)