Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
From MaRDI portal
Publication:6559910
DOI10.3969/J.ISSN.1001-4268.2023.06.006MaRDI QIDQ6559910
Pu Liao, Hui Meng, Yeshunying Wang
Publication date: 21 June 2024
Published in: Chinese Journal of Applied Probability and Statistics (Search for Journal in Brave)
reinsuranceambiguity-averseextended Hamilton-Jacobi-Bellman system equationsmean-variance reward function
Cites Work
- Title not available (Why is that?)
- Optimal proportional reinsurance with common shock dependence
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- On time-inconsistent stochastic control in continuous time
- Optimal investment for insurer with jump-diffusion risk process
- 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
- On maximizing the expected terminal utility by investment and reinsurance
- Optimal dynamic reinsurance policies for large insurance portfolios
- Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance
- Optimal risk control and dividend strategies in the presence of two reinsurers: variance premium principle
- Robust reinsurance contracts with uncertainty about jump risk
- Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
- Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
- Stochastic Stackelberg differential reinsurance games under time-inconsistent mean-variance framework
- Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
- Continuous-time optimal reinsurance strategy with nontrivial curved structures
- A reinsurance game between two insurance companies with nonlinear risk processes
- Reinsurance contract design when the insurer is ambiguity-averse
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Optimal Control of Capital Injections by Reinsurance with a Constant Rate of Interest
- Mean-Variance Optimal Reinsurance Arrangements
- Upper bound for ruin probabilities under optimal investment and proportional reinsurance
- Optimal proportional reinsurance to minimize the probability of drawdown under thinning-dependence structure
- Optimal dynamic reinsurance with dependent risks: variance premium principle
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
- Minimizing the probability of absolute ruin under the mean‐variance premium principle
- Optimal reinsurance under mean-variance premium principles
- Optimal investment for insurers
This page was built for publication: Robust optimal per-loss reinsurance strategy for an ambiguity-averse insurer
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6559910)