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Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities
16 references·2 citing·41 second hop
Robust optimal investment and reinsurance problem for the product of the insurer’s and the reinsurer’s utilities (2018)Robust optimal investment and reinsurance…Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2015)Robust equilibrium reinsuranc…Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Robust optimal control for an…Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model (2012)Optimal control of excess-of-…Risk minimizing portfolios and HJBI equations for stochastic differential games (2008)Risk minimizing portfolios an…Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint (2007)Optimal proportional reinsura…Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium (2006)Robust portfolio rules and de…Optimal investment for insurer with jump-diffusion risk process (2005)Optimal investment for insure…Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift (2005)Minimizing the Probability of…Robust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)A Quartet of Semigroups for M…Views of Financial Economists on the Equity Premium and on Professional Controversies (2000)Views of Financial Economists…Global Stock Markets in the Twentieth Century (1999)Global Stock Markets in the T…Survival (1995)SurvivalOptimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Optimal Investment Policies f…Aspects of Risk Theory (1991)Aspects of Risk TheoryReciprocal Reinsurance Treaties (1960)Reciprocal Reinsurance Treati…Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks (2020)Time-consistent non-zero-sum …A Stackelberg reinsurance–investment game with asymmetric information and delay (2020)A Stackelberg reinsurance–inv…Stochastic Differential Equations: Theory and Applications. (1976)Brownian motion and stochastic calculus (1991)Brownian Motion and Stochastic Calculus (2007)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Beliefs, Doubts and Learning: Valuing Macroeconomic Risk (2007)The equity premium: A puzzle (1985)Habit Formation: A Resolution of the Equity Premium Puzzle (1990)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: An Empirical Analysis (1991)A Century of Stock Market Liquidity and Trading Costs (2002)Asset Pricing with Heterogeneous Consumers and Limited Participation: Empirical Evidence (2002)Dynamic Asset Allocation with Event Risk (2003)Modelling of extremal events in insurance and finance (1994)Financial Modelling with Jump Processes (2003)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)Risk, Ambiguity, and the Savage Axioms (1961)Model Misspecification and Underdiversification (2003)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Uncertainty, Time‐Varying Fear, and Asset Prices (2013)Risk, Uncertainty and Profit (1921)An Intertemporal Capital Asset Pricing Model (1973)Model Specification and Risk Premia: Evidence from Futures Options (2007)Pricing Uncertainty Induced by Climate Change (2019)Risk Aversion in the Small and in the Large (1976)Optimal investment for insurers (2000)Exponential Hedging and Entropic Penalties (2002)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Common risk factors in the returns on stocks and bonds (1993)How Much Is Investor Autonomy Worth? (2002)The Decline of Inflation and the Bull Market of 1982-1999 (2002)The Level and Persistence of Growth Rates (2003)An Empirical Evaluation of Accounting Income Numbers (1968)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Anomalies: The Equity Premium Puzzle (1997)Output, Stock Volatility, and Political Uncertainty in a Natural Experiment: Germany, 1880–1940 (1998)A barrier option framework for corporate security valuation (2003)Controlled diffusion models for optimal dividend pay-out (1997)Optimal Dividends (2004)
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References

  • 1991Aspects of Risk Theory902 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 1995Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin607 cited
  • 1999Global Stock Markets in the Twentieth Century515 cited
  • 2000Views of Financial Economists on the Equity Premium and on Professional Controversies405 cited
  • 2005Minimizing the Probability of Ruin When Claims Follow Brownian Motion with Drift308 cited
  • 2005Optimal investment for insurer with jump-diffusion risk process295 cited
  • 1995Survival293 cited
  • 2006Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium246 cited
  • 2007Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint233 cited
  • 2008Risk minimizing portfolios and HJBI equations for stochastic differential games165 cited
  • 2013Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model154 cited
  • 2015Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps151 cited

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  • 1960Reciprocal Reinsurance Treaties129 cited
  • 2012Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model115 cited
  • Cited by

    • 2020Time-consistent non-zero-sum stochastic differential reinsurance and investment game under default and volatility risks37 cited
    • 2020A Stackelberg reinsurance–investment game with asymmetric information and delay35 cited