Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
From MaRDI portal
Publication:903344
DOI10.1016/j.insmatheco.2015.10.012zbMath1348.91192OpenAlexW2178320768MaRDI QIDQ903344
Yan Zeng, Ailing Gu, Danping Li
Publication date: 5 January 2016
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2015.10.012
jump-diffusion modelmean-variance criterionequilibrium strategyrobust optimal controlreinsurance and investment
Related Items
Optimal mean-variance reinsurance and investment strategy with constraints in a non-Markovian regime-switching model, Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model, Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate, Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance, Optimality of excess-loss reinsurance under a mean-variance criterion, Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling, Time-consistent proportional reinsurance and investment strategies under ambiguous environment, Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model, Robust reinsurance contract with learning and ambiguity aversion, A pair of optimal reinsurance-investment strategies in the two-sided exit framework, Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing, Robust risk-taking under a sustainable constraint, Alpha-robust mean-variance reinsurance-investment strategy, Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility, Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset, Risk minimization for an insurer with investment and reinsurance via g-expectation, Robust optimal asset-liability management with penalization on ambiguity, Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond, Expected utility maximization for an insurer with investment and risk control under inside information, Robust optimal investment and reinsurance for an insurer with inside information, Mean-variance investment and risk control strategies -- a time-consistent approach via a forward auxiliary process, Stackelberg differential game for insurance under model ambiguity, Optimal dividend-distribution strategy under ambiguity aversion, Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion, Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps, Reinsurance contract design when the insurer is ambiguity-averse, Robust time-consistent strategy for the defined contribution pension plan with a minimum guarantee under ambiguity, Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks, Optimal reinsurance-investment problem with dependent risks based on Legendre transform, Optimal reinsurance to minimize the discounted probability of ruin under ambiguity, Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle, Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework, Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps, Robust optimal proportional reinsurance and investment strategy for an insurer with defaultable risks and jumps, Optimal expansion of business opportunity, Optimal reinsurance contract in a Stackelberg game framework: a view of social planner, Optimal reinsurance and dividend under model uncertainty, Robust optimal excess-of-loss reinsurance and investment problem with more general dependent claim risks and defaultable risk, Optimal reinsurance and investment strategy for an insurer in a model with delay and jumps, Reinsurance-investment game between two mean-variance insurers under model uncertainty, Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications, Behavioral mean-risk portfolio selection in continuous time via quantile, Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion, Robust optimal investment and reinsurance to minimize a goal-reaching probability with constrained control variables, Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model, Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility, Unnamed Item, Stochastic differential game for management of non-renewable fishery resource under model ambiguity, Minimizing the probability of absolute ruin under ambiguity aversion, Optimal risk exposure and dividend payout policies under model uncertainty, Time-consistent mean-variance investment with unit linked life insurance contracts in a jump-diffusion setting, Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion, Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate, Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity, Robust non-zero-sum investment and reinsurance game with default risk, Robust optimal reinsurance and investment strategies for an AAI with multiple risks, Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks, STOCHASTIC DIFFERENTIAL GAMES BETWEEN TWO INSURERS WITH GENERALIZED MEAN-VARIANCE PREMIUM PRINCIPLE, Optimal reinsurance and investment strategies for insurers with regime-switching and state-dependent utility function, Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion, Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities, A non-zero-sum reinsurance-investment game with delay and asymmetric information, Revisiting optimal investment strategies of value-maximizing insurance firms, Robust time-inconsistent stochastic control problems, A regular equilibrium solves the extended HJB system, Estimating the Gerber-Shiu expected discounted penalty function for Lévy risk model, Robust optimal excess-of-loss reinsurance and investment problem with delay and dependent risks, REACHING A BEQUEST GOAL WITH LIFE INSURANCE: AMBIGUITY ABOUT THE RISKY ASSET'S DRIFT AND MORTALITY'S HAZARD RATE, Equilibrium reinsurance-investment strategies with partial information and common shock dependence, Time-inconsistent stopping, myopic adjustment and equilibrium stability: with a mean-variance application, Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment, Can ambiguity about rare disasters explain equity premium puzzle?, Robust time-consistent portfolio selection for an investor under CEV model with inflation influence, Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion, Robust optimal consumption-investment strategy with non-exponential discounting, Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution, Non-zero-sum reinsurance and investment game between two mean-variance insurers under the CEV model, Dynamic asset-liability management problem in a continuous-time model with delay, Robust reinsurance contract with asymmetric information in a stochastic Stackelberg differential game
Cites Work
- Risk, jumps, and diversification
- Robust portfolio choice with stochastic interest rates
- Portfolio management with stochastic interest rates and inflation ambiguity
- Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
- Robust consumption and portfolio choice for time varying investment opportunities
- Benchmark and mean-variance problems for insurers
- Aspects of risk theory
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Optimal dividend strategies with time-inconsistent preferences
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Dynamic portfolio selection with mispricing and model ambiguity
- Optimal time-consistent investment and reinsurance policies for mean-variance insurers
- Robust investment-reinsurance optimization with multiscale stochastic volatility
- Worst-case-optimal dynamic reinsurance for large claims
- Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem
- Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps
- Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion
- Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
- Optimal reinsurance–investment problem in a constant elasticity of variance stock market for jump‐diffusion risk model
- Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
