Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
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Publication:2273986
DOI10.1016/j.insmatheco.2019.06.007zbMath1425.91238OpenAlexW2955233715WikidataQ127553081 ScholiaQ127553081MaRDI QIDQ2273986
Yan Zeng, Hui Zhao, Yang Shen, Wen-Jun Zhang
Publication date: 19 September 2019
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2019.06.007
excess-of-loss reinsurancemodel uncertaintymean-variance criterioncredit default swaprobust equilibrium strategy
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