Robust optimal reinsurance-investment strategy with price jumps and correlated claims
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Cites work
- scientific article; zbMATH DE number 51724 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- scientific article; zbMATH DE number 5223066 (Why is no real title available?)
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- On reinsurance and investment for large insurance portfolios
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- Optimal portfolios with stochastic interest rates and defaultable assets.
- Optimal proportional reinsurance with a loss-dependent premium principle
- Optimal reinsurance problems with extrapolative claim expectation
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Portfolio optimization for jump‐diffusion risky assets with common shock dependence and state dependent risk aversion
- Risk minimizing portfolios and HJBI equations for stochastic differential games
- 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 optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- The demand for flood insurance: Empirical evidence
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- Time-consistent mean-variance reinsurance-investment strategy for insurers under CEV model
Cited in
(30)- Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets
- Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- Reinsurance contracts under Stackelberg game and market equilibrium
- Robust time-consistent portfolio selection for an investor under CEV model with inflation influence
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
- Optimal time-consistent social health insurance and private health insurance strategy under a new health insurance framework
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
- Stochastic differential games on optimal investment and reinsurance strategy with delay under the CEV model
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
- Optimal reinsurance strategy based on competition under two kinds of dependent insurance business
- Robust equilibrium investment and reinsurance strategy with bounded memory and common shock dependence
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Actuarial pricing with financial methods
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Robust equilibrium strategies in a defined benefit pension plan game
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust optimal investment and reinsurance for an insurer with inside information
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion
- Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
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