Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity

DOI10.1016/j.insmatheco.2016.11.007zbMath1394.91216OpenAlexW2565508781MaRDI QIDQ506097

Bo Yi, Frederi G. Viens, Ailing Gu

Publication date: 31 January 2017

Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.insmatheco.2016.11.007

zbMATH Keywords

robust controlutility functionproportional reinsurancemispricingoptimal investment strategy

Mathematics Subject Classification ID

Related Items (21)

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