Robust optimal reinsurance-investment strategy with price jumps and correlated claims

DOI10.1016/j.insmatheco.2020.03.001zbMath1445.91051MaRDI QIDQ784390

Peng Yang, Zhiping Chen

Publication date: 3 August 2020

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2020.03.001

zbMATH Keywords

stochastic dynamic programming; ambiguity; utility maximization; time consistency; reinsurance-investment strategy; robust optimal

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

90C15: Stochastic programming

90C39: Dynamic programming

91G10: Portfolio theory

91G05: Actuarial mathematics