Robust reinsurance contracts with uncertainty about jump risk
type: Item
instance of: scholarly article
title: Robust reinsurance contracts with uncertainty about jump risk
zbMATH Open document ID: 1403.91196
author: Duni Hu
author: Shou Chen
author: Hailong Wang
published in: European Journal of Operational Research
publication date: 2018-05-30T00:00:00Z
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 6876620
zbMATH Keywords: game theory
zbMATH Keywords: ambiguity
zbMATH Keywords: proportional reinsurance
zbMATH Keywords: excess-loss reinsurance
zbMATH Keywords: reinsurance price
MaRDI profile type: Publication
full work available at URL: j.ejor.2017.10.061
OpenAlex ID: W2770616686
cites work: Q5618987
cites work: Optimal reinsurance under risk and uncertainty
cites work: Optimal reinsurance with general risk measures
cites work: Stable solutions for optimal reinsurance problems involving risk measures
cites work: Benchmark and mean-variance problems for insurers
cites work: A Soft Robust Model for Optimization Under Ambiguity
cites work: Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer
cites work: PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS
cites work: Equilibrium in a Reinsurance Market
cites work: Decision analysis under ambiguity
cites work: Non-zero-sum stochastic differential reinsurance and investment games with default risk
cites work: Q4388221
cites work: Risk, ambiguity and the Savage axioms
cites work: Dynamic Pricing of General Insurance in a Competitive Market
cites work: Pricing General Insurance Using Optimal Control Theory
cites work: Optimal strategies for pricing general insurance
cites work: Q3868650
cites work: Maxmin expected utility with non-unique prior
cites work: Optimal insurance design of ambiguous risks
cites work: Alpha-robust mean-variance reinsurance-investment strategy
cites work: Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
cites work: Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
cites work: Pricing Dynamic Insurance Risks Using the Principle of Equivalent Utility
DOI: 10.1016/J.EJOR.2017.10.061
description: scientific article; zbMATH DE number 6876620