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Robust reinsurance contracts with uncertainty about jump risk · Study

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ArticleRobust reinsurance contracts with uncertainty about jump risk

Duni Hu2017

Article2017

Robust reinsurance contracts with uncertainty about jump risk

Duni Hu · Shou Chen · Hailong Wang

62 citations·0/0 files stored·European Journal of Operational Research

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Probability and Risk Models Insurance and Financial Risk Management Risk and Portfolio Optimization

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References

1961Risk, Ambiguity, and the Savage Axioms 2003UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE 1989Maxmin expected utility with non-unique prior 1972Essays in the Theory of Risk-Bearing.1972Market Insurance, Self-Insurance, and Self-Protection 1992Market Insurance, Self-Insurance, and Self-Protection 1979An introduction to mathematical risk theory 1978UNCERTAINTY AND THE WELFARE ECONOMICS OF MEDICAL CARE

Cited by

2019Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model 2018Robust non-zero-sum investment and reinsurance game with default risk 2021Household consumption-investment-insurance decisions with uncertain income and market ambiguity 2019Pricing and hedging in incomplete markets with model uncertainty

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1995Non-Expected Utility and The Robustness of the Classical Insurance Paradigmarticle · 7 shared references 2008An Extension of Arrow's Result on Optimal Reinsurance Contractarticle · 6 shared references 2016Robust optimal investment and reinsurance of an insurer under variance premium principle and default riskarticle · 6 shared references 2018Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilitiesarticle · 6 shared references 2019Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent modelarticle · 6 shared references 2015Comparative ambiguity aversion and downside ambiguity aversionarticle · 6 shared references

Details

Year2017

Typearticle

Published2017-11-20

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations62

Files0 public / 0

ShelfProbability and Risk Models

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doi10.1016/j.ejor.2017.10.061

openalex_workW2770616686

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