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Robust non-zero-sum investment and reinsurance game with default risk
16 references·1 citing·46 second hop
Robust non-zero-sum investment and reinsurance game with default risk (2018)Robust non-zero-sum investment and reinsu…Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps (2017)Robust optimal excess-of-loss…Non-zero-sum stochastic differential reinsurance and investment games with default risk (2017)Non-zero-sum stochastic diffe…Robust Contracts in Continuous Time (2016)Robust Contracts in Continuou…Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2015)Robust equilibrium reinsuranc…A class of non-zero-sum stochastic differential investment and reinsurance games (2014)A class of non-zero-sum stoch…Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013)Robust optimal control for an…Recent advances in robust optimization: An overview (2013)Recent advances in robust opt…Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model (2013)Optimal excess-of-loss reinsu…A Stochastic Volatility Model and Optimal Portfolio Selection (2012)A Stochastic Volatility Model…Optimal investment and reinsurance of an insurer with model uncertainty (2009)Optimal investment and reinsu…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…Portfolio optimization with a defaultable security (2006)Portfolio optimization with a…Robust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…Stochastic differential portfolio games (2000)Stochastic differential portf…Aspects of Risk Theory (1991)Aspects of Risk TheoryReinsurance–investment game between two mean–variance insurers under model uncertainty (2020)Reinsurance–investment game b…Mathematical Methods in Risk Theory (1970)Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin (1995)Continuous-time Stochastic Control and Optimization with Financial Applications (2009)A Survey on the Combined Use of Optimization Methods and Game Theory (2018)ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018)An introduction to mathematical risk theory (1979)Controlled markov processes and viscosity solutions (1994)Controlled Markov Processes and Viscosity Solutions (2005)Optimal time-consistent investment and reinsurance policies for mean-variance insurers (2011)Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2011)Maxmin expected utility with non-unique prior (1989)Coherent Measures of Risk (1999)Stochastic Differential Equations (2003)Maximum Principles for Optimal Control of 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and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Agency conflicts and short- versus long-termism in corporate policies (2019)Robustness in Mechanism Design and Contracting (2019)Optimal Short-Termism (2021)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)
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References

  • 2013Recent advances in robust optimization: An overview914 cited
  • 1991Aspects of Risk Theory902 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 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
  • 2014A class of non-zero-sum stochastic differential investment and reinsurance games156 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
  • 2016Robust Contracts in Continuous Time123 cited
  • 2013Optimal excess-of-loss reinsurance and investment problem for an insurer with jump–diffusion risk process under the Heston model109 cited
  • 2017Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps102 cited
  • 2017Non-zero-sum stochastic differential reinsurance and investment games with default risk102 cited
  • 2009Optimal investment and reinsurance of an insurer with model uncertainty95 cited
  • 2000Stochastic differential portfolio games94 cited

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  • 2012A Stochastic Volatility Model and Optimal Portfolio Selection93 cited
  • 2006Portfolio optimization with a defaultable security86 cited
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    • 2020Reinsurance–investment game between two mean–variance insurers under model uncertainty40 cited