Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
From MaRDI portal
Publication:4595864
DOI10.1080/03610926.2016.1242734zbMath1386.91082OpenAlexW2535100518MaRDI QIDQ4595864
Ya Huang, Jie-Ming Zhou, Xiang-Qun Yang
Publication date: 6 December 2017
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2016.1242734
Related Items
Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer ⋮ Time-consistent reinsurance and investment strategy combining quota-share and excess of loss for mean-variance insurers with jump-diffusion price process ⋮ Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks ⋮ Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle ⋮ Optimal reinsurance-investment problem for a general insurance company under a generalized dynamic contagion claim model ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps ⋮ Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer ⋮ Robust non-zero-sum investment and reinsurance game with default risk ⋮ Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities ⋮ Optimal reinsurance and investment problem with default risk and bounded memory ⋮ Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks ⋮ Minimizing the penalized probability of drawdown for a general insurance company under ambiguity aversion ⋮ Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk
