Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon-Reference-Cited by-同舟云学术

Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon

Published:2019-08-02 Issue:4 Volume:50 Page:993-1017
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Wang Peiqi¹,Rong Ximin¹²,Zhao Hui¹²,Wang Yajie¹

Affiliation:

1. School of Mathematics, Tianjin University, Tianjin, PR China;

2. Coordinated Innovation Center for Computable Modeling in Management Science, Tianjin University of Finance and Economics, Tianjin, PR China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2019.1646765

Reference35 articles.

1. Anderson, E. W., L. P. Hansen, and T. J. Sargent. 1999. Robustness detection and the price of risk. Working Paper, University of Chicago. Available at: https://files.nyu.edu/ts43/public/research/.svn/text-base/ahs3.pdf.svn-base.

2. A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection

3. Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem

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

5. Reciprocal Reinsurance Treaties

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