Optimal investment and reinsurance of an insurer with model uncertainty
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Cites work
- scientific article; zbMATH DE number 5638039 (Why is no real title available?)
- scientific article; zbMATH DE number 3793150 (Why is no real title available?)
- scientific article; zbMATH DE number 3505708 (Why is no real title available?)
- A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control
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- MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
- Optimal Investment for an Insurer to Minimize Its Probability of Ruin
- Optimal Proportional Reinsurance Policies in a Dynamic Setting
- Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
- Optimal investment for insurer with jump-diffusion risk process
- Optimal investment for insurers
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- Stochastic differential equations. An introduction with applications.
- Stochastic differential portfolio games
Cited in
(73)- On a new paradigm of optimal reinsurance: a stochastic Stackelberg differential game between an insurer and a reinsurer
- Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
- Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting
- Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
- Stackelberg reinsurance chain under model ambiguity
- Optimal reinsurance and dividend under model uncertainty
- Robust optimal investment and reinsurance of an insurer under jump-diffusion models
- Optimal decision on dynamic insurance price and investment portfolio of an insurer
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Optimal investment and reinsurance for insurers with uncertain time-horizon
- A stochastic differential game for optimal investment of an insurer with regime switching
- Maximizing expected terminal utility of an insurer with high gain tax by investment and reinsurance
- Worst-case investment and reinsurance optimization for an insurer under model uncertainty
- Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- Optimal investment and reinsurance for an insurer under Markov-modulated financial market
- Portfolio selection by minimizing the present value of capital injection costs
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
- Robust reinsurance contracts with risk constraint
- Necessary and sufficient optimality conditions for regular-singular stochastic differential games with asymmetric information
- On a class of non-zero-sum stochastic differential dividend games with regime switching
- Optimal reinsurance and investment strategy with delay in Heston's SV model
- Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
- Optimal investment-reinsurance policy with stochastic interest and inflation rates
- Optimal investment of an insurer with regime-switching and risk constraint
- Bayesian optimal investment and reinsurance with dependent financial and insurance risks
- Derivatives trading for insurers
- Robust non-zero-sum investment and reinsurance game with default risk
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Optimal risk exposure and dividend payout policies under model uncertainty
- Markowitz's mean-variance optimization with investment and constrained reinsurance
- Optimal proportional reinsurance to maximize an insurer’s exponential utility under unobservable drift
- Optimal reinsurance and investment for a jump diffusion risk process under the CEV model
- Optimal investment and premium control for insurers with ambiguity
- Personal non-life insurance decisions and the welfare loss from flat deductibles
- Forward-backward stochastic differential games for optimal investment and dividend problem of an insurer under model uncertainty
- Stochastic differential investment-reinsurance games with capital injection-threshold dividend
- Robust non-zero-sum stochastic differential reinsurance game
- Optimal investment, consumption and proportional reinsurance under model uncertainty
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Optimal dividend-distribution strategy under ambiguity aversion
- Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
- Nonzero-sum stochastic differential portfolio games under a Markovian regime switching model
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Robust optimal investment and reinsurance problems with learning
- Robust optimal investment and reinsurance problem for a general insurance company under Heston model
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Optimal reinsurance/investment problems for general insurance models
- Optimal reinsurance and investment in a diffusion model
- Continuous-time optimal reinsurance strategy with nontrivial curved structures
- Optimal dividend and risk control policies in the presence of a fixed transaction cost
- Non-zero-sum stochastic differential reinsurance and investment games with default risk
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Optimal investment-reinsurance strategies for an insurer with options trading under model ambiguity
- An HMM approach for optimal investment of an insurer
- An uncertain alternating renewal insurance risk model
- Stochastic differential investment-reinsurance games with capital injection-barrier dividend
- Optimal investment and reinsurance strategies for an insurer with regime-switching
- Reinsurance-investment game between two mean-variance insurers under model uncertainty
- Optimal portfolio problems for an insurance company under default risk and model uncertainty
- An M-ary detection approach for asset allocation
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
- Optimal reinsurance strategy with mean-variance premium principle and relative performance concern
- A Bayesian approach for optimal reinsurance and investment in a diffusion model
- Optimal proportional reinsurance and investment with regime-switching for mean-variance insurers
- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Robust reinsurance and investment strategies under principal-agent framework
- Stochastic optimal control of investment and dividend payment model under debt control with time-inconsistency
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