Time-consistent investment-reinsurance strategy with a defaultable security under ambiguous environment

DOI10.3934/jimo.2021015zbMath1499.91095OpenAlexW3115436112MaRDI QIDQ2076384

Xi-Min Rong, Hui Zhao, Shan Liu

Publication date: 16 February 2022

Published in: Journal of Industrial and Management Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/jimo.2021015

zbMATH Keywords

defaultable bondtime-consistent strategyreinsurance and investmentHeston's SV modelsmooth ambiguity utility

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80) Portfolio theory (91G10) Actuarial mathematics (91G05)

Related Items (1)

A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment

Cites Work

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