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ArticleOptimal investment and reinsurance of an insurer with model uncertainty

Xin Zhang2009

Article2009

Optimal investment and reinsurance of an insurer with model uncertainty

Xin Zhang · Tak Kuen Siu

95 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Insurance and Financial Risk Management Stochastic processes and financial applications

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References

1987Stochastic Differential Equations: An Introduction with Applications.1991Aspects of Risk Theory 2005Applied Stochastic Control of Jump Diffusions 1986Stochastic Calculus and Applications.1983STOCHASTIC CALCULUS AND APPLICATIONS 2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS 2000Optimal investment for insurers 2005Optimal investment for insurer with jump-diffusion risk process

Cited by

2014Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach 2013Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting 2011Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model 2015Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model 2014Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria 2016

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Year2009

Typearticle

Published2009-04-17

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations95

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.insmatheco.2009.04.001

openalex_workW1998091013

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Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk

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2018Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities