Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk-Reference-Cited by-同舟云学术

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Optimal investment and reinsurance problem toward joint interests of the insurer and the reinsurer under default risk

Published:2021-01-05 Issue: Volume: Page:1-24
ISSN:0361-0926
Container-title:Communications in Statistics - Theory and Methods
language:en
Short-container-title:Communications in Statistics - Theory and Methods

Author:

Zhang Yongtao¹²,Zhao Hui¹³,Rong Ximin¹³,Han Kai¹⁴

Affiliation:

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

2. Risk Management Department, Agricultural Bank of China Limited, Beijing, PR China

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

4. Agro-related Policy and Business Innovation Department, Agricultural Bank of China Limited, Beijing, PR China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03610926.2020.1862872

Reference32 articles.

1. Stackelberg Equilibrium Premium Strategies for Push-Pull Competition in a Non-Life Insurance Market with Product Differentiation

2. A Stackelberg reinsurance–investment game with asymmetric information and delay

3. Benchmark and mean-variance problems for insurers

4. Optimal Mean-Variance Problem with Constrained Controls in a Jump-Diffusion Financial Market for an Insurer

5. Portfolio optimization with a defaultable security

Cited by 5 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. Robust optimal reinsurance and investment strategy for an insurer and a reinsurer with default risks and jumps;Communications in Statistics - Theory and Methods;2024-08-21

2. Robust optimal proportional reinsurance and investment strategy for an insurer and a reinsurer with delay and jumps;Journal of Industrial and Management Optimization;2023

3. Robust optimal reinsurance strategy with correlated claims and competition;AIMS Mathematics;2023

4. Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity;The North American Journal of Economics and Finance;2022-11

5. Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle;Communications in Statistics - Theory and Methods;2022-06-01

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