Robust optimal reinsurance-investment strategy with price jumps and correlated claims
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Publication:784390
DOI10.1016/J.INSMATHECO.2020.03.001zbMATH Open1445.91051OpenAlexW3009949638MaRDI QIDQ784390FDOQ784390
Authors: Zhiping Chen, Peng Yang 
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
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ambiguityutility maximizationtime consistencystochastic dynamic programmingreinsurance-investment strategyrobust optimal
Actuarial mathematics (91G05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Dynamic programming (90C39) Portfolio theory (91G10) Stochastic programming (90C15)
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Cited In (30)
- Equilibrium reinsurance strategies for \(n\) insurers under a unified competition and cooperation framework
- Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
- Actuarial pricing with financial methods
- Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
- Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model
- Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
- Optimal time-consistent social health insurance and private health insurance strategy under a new health insurance framework
- Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Robust optimal reinsurance and investment strategies for an AAI with multiple risks
- Optimal investment-reinsurance strategy in the correlated insurance and financial markets
- Stochastic streamflow and dissolved silica dynamics with application to the worst-case long-run evaluation of water environment
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Optimal reinsurance strategy based on competition under two kinds of dependent insurance business
- Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
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- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps
- Robust equilibrium investment and reinsurance strategy with bounded memory and common shock dependence
- Robust equilibrium strategies in a defined benefit pension plan game
- Robust time-consistent portfolio selection for an investor under CEV model with inflation influence
- Robust investment and proportional reinsurance strategy with delay and jumps in a stochastic Stackelberg differential game
- Reinsurance contracts under Stackelberg game and market equilibrium
- Optimal reinsurance-investment problem under mean-variance criterion with \(n\) risky assets
- Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion
- Stochastic differential reinsurance game for two competitive insurers with ambiguity-aversion under mean-variance premium principle
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