Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
type: Item
instance of: scholarly article
title: Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
zbMATH Open document ID: 1290.91103
author: Bo Yi
author: Frederi Viens
author: Yan Zeng
author: Zhongfei Li
published in: Insurance Mathematics \& Economics
publication date: 2014-06-23T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B70
Mathematics Subject Classification ID: 91G30
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 90C15
zbMATH DE Number: 6306904
zbMATH Keywords: reinsurance and investment strategy
zbMATH Keywords: stochastic volatility
zbMATH Keywords: robust optimal control
zbMATH Keywords: utility maximization
zbMATH Keywords: ambiguity-averse insurer
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2013.08.011
OpenAlex ID: W2080914628
cites work: Optimal investment strategy to minimize the ruin probability of an insurance company under borrowing constraints
cites work: Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
cites work: Benchmark and mean-variance problems for insurers
cites work: Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin
cites work: Optimal investment-reinsurance policy for an insurance company with VaR constraint
cites work: Mean-variance portfolio selection for a non-life insurance company
cites work: Q4388221
cites work: Aspects of risk theory
cites work: Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model
cites work: Explicit solutions to an optimal portfolio choice problem with stochastic income
cites work: A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
cites work: Q4039796
cites work: Portfolio optimization in discrete time with proportional transaction costs under stochastic volatility
cites work: Worst-case-optimal dynamic reinsurance for large claims
cites work: Optimal portfolios with stochastic interest rates and defaultable assets.
cites work: Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility
cites work: Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model
cites work: Optimal proportional reinsurance and investment in a stock market with Ornstein-Uhlenbeck process
cites work: Stochastic differential portfolio games for an insurer in a jump-diffusion risk process
cites work: Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
cites work: Optimal portfolio in partially observed stochastic volatility models.
cites work: Real Longevity Insurance with a Deductible: Introduction to Advanced-Life Delayed Annuities (ALDA)
cites work: Optimal Proportional Reinsurance Policies in a Dynamic Setting
cites work: Symposium on stochastic volatility: an introductory overview
cites work: Optimal investment for an insurer with exponential utility preference
cites work: Optimal investment for insurer with jump-diffusion risk process
cites work: Optimal time-consistent investment and reinsurance policies for mean-variance insurers
cites work: Optimal reinsurance-investment strategies for insurers under mean-car criteria
cites work: Optimal strategies of benchmark and mean-variance portfolio selection problems for insurers
cites work: Optimal investment and reinsurance of an insurer with model uncertainty
DOI: 10.1016/J.INSMATHECO.2013.08.011
description: scientific article; zbMATH DE number 6306904