Optimal investment and reinsurance of an insurer with model uncertainty
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Publication:659098
DOI10.1016/J.INSMATHECO.2009.04.001zbMATH Open1231.91257OpenAlexW1998091013MaRDI QIDQ659098FDOQ659098
Authors: Xin Zhang, Tak Kuen Siu 
Publication date: 10 February 2012
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2009.04.001
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model uncertaintyproportional reinsuranceexponential utilityoptimal investmentHJBI equationsstochastic differential gamepenalty of ruin
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- Robust reinsurance and investment strategies under principal-agent framework
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