Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
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Publication:903344
DOI10.1016/J.INSMATHECO.2015.10.012zbMATH Open1348.91192OpenAlexW2178320768MaRDI QIDQ903344FDOQ903344
Authors: Yan Zeng, Danping Li, Ailing Gu 
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
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equilibrium strategyjump-diffusion modelmean-variance criterionrobust optimal controlreinsurance and investment
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Cited In (96)
- Minimizing Lundberg inequality for ruin probability under correlated risk model by investment and reinsurance
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- A regular equilibrium solves the extended HJB system
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Optimality of excess-loss reinsurance under a mean-variance criterion
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- Robust time-inconsistent stochastic control problems
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