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Optimal investment and premium control for insurers with ambiguity

Published:2019-02-16 Issue:9 Volume:49 Page:2110-2130
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Liu Bing¹,Zhou Ming²,Li Peng³

Affiliation:

1. School of Insurance, Central University of Finance and Economics, Beijing, China;

2. China Institute for Actuarial Science, Central University of Finance and Economics, Beijing, China;

3. School of Finance, Nanjing University of Finance and Economics, Nanjing, China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2019.1568487

Reference26 articles.

1. Optimal investment policy and dividend payment strategy in an insurance company

2. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint

3. Optimal Investment Policies for a Firm With a Random Risk Process: Exponential Utility and Minimizing the Probability of Ruin

4. The time of ruin, the surplus prior to ruin and the deficit at ruin for the classical risk process perturbed by diffusion

5. On the time to ruin for Erlang(2) risk processes

Cited by 2 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Optimal Time-Consistent Investment and Premium Control Strategies for Insurers with Constraint under the Heston Model;Mathematics;2022-03-22

2. Optimal reinsurance policy under a new distortion risk measure;Communications in Statistics - Theory and Methods;2021-10-14

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