Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
type: Item
instance of: scholarly article
title: Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
zbMATH Open document ID: 1394.91216
author: Ailing Gu
author: Frederi Viens
author: Bo Yi
published in: Insurance Mathematics \& Economics
publication date: 2017-01-31T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6679049
zbMATH Keywords: proportional reinsurance
zbMATH Keywords: robust control
zbMATH Keywords: optimal investment strategy
zbMATH Keywords: utility function
zbMATH Keywords: mispricing
MaRDI profile type: Publication
full work available at URL: j.insmatheco.2016.11.007
OpenAlex ID: W2565508781
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DOI: 10.1016/J.INSMATHECO.2016.11.007
description: scientific article; zbMATH DE number 6679049