Robust optimal proportional reinsurance and investment problem for an insurer with delay and dependent risks
Author:
Affiliation:
1. School of Mathematics and Statistics, Ningxia University, Yinchuan, Ningxia, China
2. College of Mathematics and System Sciences, Xinjiang University, Urumqi, China
Funder
the Scientific Research Project of Ningxia Colleges
the Ningxia Autonomous Region Key Research and Development Program
the National Natural Science Foundation of China
Publisher
Informa UK Limited
Subject
Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/03610926.2022.2072516
Reference40 articles.
1. Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model
2. Optimal excess-of-loss reinsurance and investment problem with delay and jump–diffusion risk process under the CEV model
3. A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection
4. Optimal proportional reinsurance and investment with multiple risky assets and no-shorting constraint
5. Optimal mean–variance investment and reinsurance problems for the risk model with common shock dependence
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