Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps

Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Actuarial mathematics (91G05) Jump processes on discrete state spaces (60J74)

Related Items (1)

Robust equilibrium reinsurance and investment strategy for the insurer and reinsurer under weighted mean-variance criterion

Cites Work

Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model
Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
Optimal proportional reinsurance and investment with minimum probability of ruin
Asymptotics of ruin probabilities for risk processes under optimal reinsurance and investment policies: The large claim case
Optimal investment-reinsurance policy for an insurance company with VaR constraint
Robust optimal investment and reinsurance problem for the product of the insurer's and the reinsurer's utilities
Optimal reinsurance and investment with unobservable claim size and intensity
Robust optimal reinsurance-investment strategy with price jumps and correlated claims
Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
Optimal proportional reinsurance and investment with transaction costs. I: Maximizing the terminal wealth
Aspects of risk theory
Optimal excess-of-loss reinsurance and investment problem with delay and jump-diffusion risk process under the CEV model
Robust non-zero-sum investment and reinsurance game with default risk
Optimal portfolios with stochastic interest rates and defaultable assets.
Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
Optimal reinsurance and investment problem for an insurer and a reinsurer with jump-diffusion risk process under the Heston model
Robust optimal investment and reinsurance problem for a general insurance company under Heston model
Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
A hybrid stochastic differential reinsurance and investment game with bounded memory
Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston's SV model
Time-consistent investment-reinsurance strategies towards joint interests of the insurer and the reinsurer under CEV models
Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
Optimal investment-reinsurance with delay for mean-variance insurers: a maximum principle approach
Optimal time-consistent reinsurance-investment strategy with delay for an insurer under a defaultable market
Robust optimal investment and reinsurance for an insurer with inside information
Optimal reinsurance and investment problem with default risk and bounded memory
Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
Robust optimal investment and proportional reinsurance toward joint interests of the insurer and the reinsurer
Robust optimal investment and reinsurance problems with learning
Equilibrium excess-of-loss reinsurance and investment strategies for an insurer and a reinsurer
Equilibrium investment-reinsurance strategy with delay and common shock dependence under Heston's SV model
Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility
Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk

This page was built for publication: Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps