Alpha-robust mean-variance reinsurance-investment strategy

DOI10.1016/j.jedc.2016.07.001zbMath1401.91521OpenAlexW2467700965MaRDI QIDQ1656367

Dewen Xiong, Danping Li, Bin Li

Publication date: 10 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2016.07.001

zbMATH Keywords

mean-variance criteriontime-consistent equilibrium strategy\(\alpha\)-maxmin utilityLévy insurance modelrobust reinsurance-investment problem

Mathematics Subject Classification ID

Related Items (21)

The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors ⋮ Optimal reinsurance problems with extrapolative claim expectation ⋮ Stackelberg differential game for insurance under model ambiguity ⋮ Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion ⋮ Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion ⋮ Optimal dynamic risk sharing under the time‐consistent mean‐variance criterion ⋮ A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility ⋮ Reinsurance-investment game between two mean-variance insurers under model uncertainty ⋮ A continuous-time theory of reinsurance chains ⋮ Unnamed Item ⋮ A dynamic pricing game for general insurance market ⋮ Mean-CVaR portfolio selection model with ambiguity in distribution and attitude ⋮ Robust reinsurance contracts with uncertainty about jump risk ⋮ Derivatives trading for insurers ⋮ Revisiting optimal investment strategies of value-maximizing insurance firms ⋮ Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization ⋮ Optimal proportional reinsurance with a loss-dependent premium principle ⋮ Robust optimal reinsurance-investment strategy with price jumps and correlated claims ⋮ Optimal reinsurance-investment strategy for a dynamic contagion claim model ⋮ Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity

Cites Work

• Gerber-Shiu risk theory
• A theory of Markovian time-inconsistent stochastic control in discrete time
• Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection
• Optimal investment-reinsurance policy for an insurance company with VaR constraint
• Optimal reinsurance and investment with unobservable claim size and intensity
• Preference and belief: ambibiguity and competence in choice under uncertainty
• Benchmark and mean-variance problems for insurers
• Optimal reinsurance/investment problems for general insurance models
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Dynamic mean-variance problem with constrained risk control for the insurers
• Recursive smooth ambiguity preferences
• Additivity with multiple priors
• Uncertain dynamics, correlation effects, and robust investment decisions
• Differentiating ambiguity and ambiguity attitude
• Time-consistent mean-variance portfolio selection in discrete and continuous time
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Optimal time-consistent investment and reinsurance policies for mean-variance insurers
• Robust investment-reinsurance optimization with multiscale stochastic volatility
• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
• Fluctuations of Lévy processes with applications. Introductory lectures
• 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
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach
• Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion
• Risk, Ambiguity, and the Savage Axioms
• Time-Inconsistent Stochastic Linear--Quadratic Control
• Ambiguity and the Bayesian Paradigm
• Continuous-Time Markowitz's Model with Transaction Costs
• 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
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
• A Smooth Model of Decision Making under Ambiguity
• MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
• Probabilistic Sophistication and Multiple Priors
• Optimal Investment Strategy to Minimize the Probability of Lifetime Ruin
• Applied stochastic control of jump diffusions
• Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)

This page was built for publication: Alpha-robust mean-variance reinsurance-investment strategy