SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Optimal investment and reinsurance of an insurer with model uncertainty
15 references·16 citing·38 second hop
Optimal investment and reinsurance of an insurer with model uncertainty (2009)Optimal investment and reinsurance of an …Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Risk minimizing portfolios an…MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS (2006)MODEL UNCERTAINTY AND ITS IMP…Optimal investment for insurer with jump-diffusion risk process (2005)Optimal investment for insure…Benchmark and mean-variance problems for insurers (2005)Benchmark and mean-variance p…Applied Stochastic Control of Jump Diffusions (2005)Applied Stochastic Control of…Optimal Investment for an Insurer to Minimize Its Probability of Ruin (2004)Optimal Investment for an Ins…A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control (2003)A Diffusion Model for Optimal…Optimal Proportional Reinsurance Policies in a Dynamic Setting (2001)Optimal Proportional Reinsura…Stochastic differential portfolio games (2000)Stochastic differential portf…Optimal investment for insurers (2000)Optimal investment for insure…A discussion of parameter and model uncertainty in insurance (2000)A discussion of parameter and…Aspects of Risk Theory (1991)Aspects of Risk TheoryStochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…Stochastic Calculus and Applications. (1986)Stochastic Calculus and Appli…STOCHASTIC CALCULUS AND APPLICATIONS (1983)STOCHASTIC CALCULUS AND APPLI…Household consumption-investment-insurance decisions with uncertain income and market ambiguity (2021)Household consumption-investm…Reinsurance–investment game between two mean–variance insurers under model uncertainty (2020)Reinsurance–investment game b…Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities (2018)Robust optimal investment and…Robust non-zero-sum investment and reinsurance game with default risk (2018)Robust non-zero-sum investmen…Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (2018)Optimal robust reinsurance-in…Robust optimal investment and reinsurance problem for a general insurance company under Heston model (2017)Robust optimal investment and…Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk (2016)Robust optimal investment and…Robust non-zero-sum stochastic differential reinsurance game (2016)Robust non-zero-sum stochasti…Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model (2015)Robust optimal portfolio and …Robust investment–reinsurance optimization with multiscale stochastic volatility (2015)Robust investment–reinsurance…Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria (2014)Robust optimal strategies for…Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach (2014)Optimal investment–reinsuranc…Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting (2013)Optimal reinsurance policies …Stochastic differential portfolio games for an insurer in a jump-diffusion risk process (2011)Stochastic differential portf…Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model (2011)Optimal Reinsurance and Inves…A stochastic differential game for optimal investment of an insurer with regime switching (2010)A stochastic differential gam…Modelling of extremal events in insurance and finance (1994)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Controlled Markov Processes and Viscosity Solutions (2005)Optimality results for dividend problems in insurance (2009)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)Dynamic Mean-Variance Portfolio Selection with No-Shorting Constraints (2002)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2015)Financial Modelling with Jump Processes (2003)Brownian Motion and Stochastic Calculus (2007)Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)A class of non-zero-sum stochastic differential investment and reinsurance games (2014)Piecewise-Deterministic Markov Processes: A General Class of Non-Diffusion Stochastic Models (1984)Stochastic Processes for Insurance and Finance (2001)OPTIMAL REINSURANCE AND DIVIDEND DISTRIBUTION POLICIES IN THE CRAMÉR‐LUNDBERG MODEL (2005)Risk, Uncertainty and Profit (1921)Testing Structural Equation Models. (1994)Coherent Measures of Risk (1999)Ambiguous Volatility and Asset Pricing in Continuous Time (2013)Ambiguous volatility, possibility and utility in continuous time (2013)Model risk of risk models (2016)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Fluctuations of Lévy Processes with Applications (2014)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)Pricing foreign currency options under stochastic interest rates (1991)Backward stochastic differential equations with jumps and related non-linear expectations (2006)Robust control and model misspecification (2006)A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns (1990)Pricing the risks of default (1998)
this work references cited by second hop

References

  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1991Aspects of Risk Theory902 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 1986Stochastic Calculus and Applications.673 cited
  • 1983STOCHASTIC CALCULUS AND APPLICATIONS480 cited
  • 2006MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS338 cited
  • 2000Optimal investment for insurers305 cited
  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
  • 2001Optimal Proportional Reinsurance Policies in a Dynamic Setting271 cited
  • 2005Benchmark and mean-variance problems for insurers175 cited
  • 2008Risk minimizing portfolios and HJBI equations for stochastic differential games165 cited
  • 2000A discussion of parameter and model uncertainty in insurance157 cited
  • 2003A Diffusion Model for Optimal Dividend Distribution for a Company with Constraints on Risk Control124 cited
  • 2004Optimal Investment for an Insurer to Minimize Its Probability of Ruin117 cited
  • 2000Stochastic differential portfolio games94 cited

Cited by

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2014Optimal investment–reinsurance with delay for mean–variance insurers: A maximum principle approach85 cited
  • 2013Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting83 cited
  • 2011Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model81 cited
  • 2015Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model80 cited
  • 2014Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria80 cited
  • 2016Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk65 cited
  • 2015Robust investment–reinsurance optimization with multiscale stochastic volatility64 cited
  • 2018Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities56 cited
  • 2018Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing53 cited
  • 2016Robust non-zero-sum stochastic differential reinsurance game52 cited
  • 2010A stochastic differential game for optimal investment of an insurer with regime switching49 cited
  • 2017Robust optimal investment and reinsurance problem for a general insurance company under Heston model43 cited
  • 2018Robust non-zero-sum investment and reinsurance game with default risk42 cited
  • 2011Stochastic differential portfolio games for an insurer in a jump-diffusion risk process41 cited
  • 2020Reinsurance–investment game between two mean–variance insurers under model uncertainty40 cited
  • 2021Household consumption-investment-insurance decisions with uncertain income and market ambiguity36 cited