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Alpha-robust mean-variance reinsurance-investment strategy
16 references·6 citing·32 second hop
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References

  • 1977Rules Rather than Discretion: The Inconsistency of Optimal Plans7,896 cited
  • 1961Risk, Ambiguity, and the Savage Axioms7,892 cited
  • 1955Myopia and Inconsistency in Dynamic Utility Maximization2,834 cited
  • 1973Myopia and Inconsistency in Dynamic Utility Maximization2,743 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 1991Preference and belief: Ambiguity and competence in choice under uncertainty1,705 cited
  • 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences1,139 cited
  • 2004Differentiating ambiguity and ambiguity attitude915 cited
  • 2005Applied Stochastic Control of Jump Diffusions883 cited
  • 2007Applied Stochastic Control of Jump Diffusions598 cited
  • 2010Dynamic Mean-Variance Asset Allocation593 cited
  • 2012MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION505 cited
  • 2009Recursive smooth ambiguity preferences395 cited
  • 2014Fluctuations of Lévy Processes with Applications375 cited
  • 2010Ambiguity in Asset Markets: Theory and Experiment369 cited
  • 2010A General Theory of Markovian Time Inconsistent Stochastic Control Problems

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343 cited

Cited by

  • 2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims51 cited
  • 2020Reinsurance–investment game between two mean–variance insurers under model uncertainty40 cited
  • 2020Optimal reinsurance-investment strategy for a dynamic contagion claim model38 cited
  • 2021Household consumption-investment-insurance decisions with uncertain income and market ambiguity36 cited
  • 2022Stackelberg differential game for insurance under model ambiguity36 cited
  • 2020Alpha-robust mean-variance investment strategy for DC pension plan with uncertainty about jump-diffusion risk25 cited