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ArticleAlpha-robust mean-variance reinsurance-investment strategy

Bin Li2016

Article2016

Alpha-robust mean-variance reinsurance-investment strategy

Bin Li · Danping Li · Dewen Xiong

55 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Probability and Risk Models Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1977Rules Rather than Discretion: The Inconsistency of Optimal Plans 1961Risk, Ambiguity, and the Savage Axioms 1955Myopia and Inconsistency in Dynamic Utility Maximization 1973Myopia and Inconsistency in Dynamic Utility Maximization 2005A Smooth Model of Decision Making under Ambiguity 1991Preference and belief: Ambiguity and competence in choice under uncertainty 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences 2004Differentiating ambiguity and ambiguity attitude

Cited by

2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims 2020Reinsurance–investment game between two mean–variance insurers under model uncertainty 2020Optimal reinsurance-investment strategy for a dynamic contagion claim model 2021Household consumption-investment-insurance decisions with uncertain income and market ambiguity 2022Stackelberg differential game for insurance under model ambiguity

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2017Optimality of excess-loss reinsurance under a mean–variance criterionarticle · 14 shared references 2013Optimal time-consistent investment and reinsurance strategies for mean–variance insurers with state dependent risk aversionarticle · 11 shared references 2020Robust optimal reinsurance–investment strategy with price jumps and correlated claimsarticle · 11 shared references 2019Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatilityarticle · 11 shared references 2018Optimal investment–reinsurance strategies with state dependent risk aversion and VaR constraints in correlated marketsarticle · 10 shared references 2015Time-consistent reinsurance and investment strategies for mean–variance insurer under partial informationarticle · 10 shared references

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Year2016

Typearticle

Published2016-07-16

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations55

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.jedc.2016.07.001

openalex_workW2467700965

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2020

Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk