Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
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Publication:5140643
DOI10.1080/03461238.2020.1719880zbMath1451.91167OpenAlexW3004512764MaRDI QIDQ5140643
Publication date: 16 December 2020
Published in: Scandinavian Actuarial Journal (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03461238.2020.1719880
excess-of-loss reinsuranceNash equilibriuminvestmentproportional reinsurancetime-consistent strategysmooth ambiguity
Related Items (7)
Time-consistent mean-variance reinsurance-investment problem with long-range dependent mortality rate ⋮ Robust reinsurance contract with learning and ambiguity aversion ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps ⋮ Reinsurance-investment game between two mean-variance insurers under model uncertainty ⋮ A Heston local-stochastic volatility model for optimal investment-reinsurance strategy with a defaultable bond in an ambiguous environment ⋮ Time-consistent longevity hedging with long-range dependence ⋮ Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
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