Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model-Reference-Cited by-同舟云学术

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Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model

Published:2019-10-16 Issue:4 Volume:2020 Page:342-375
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Gu Ailing¹,Viens Frederi G.²,Shen Yang³⁴

Affiliation:

1. School of Applied Mathematics, Guangdong University of Technology, Guangzhou, People's Republic of China

2. Department of Statistics and Probability, Michigan State University, East Lansing, MI, USA

3. School of Risk and Actuarial Studies, The University of New South Wales, Sydney, Australia

4. Department of Mathematics and Statistics, York University, Toronto, Canada

Publisher

Informa UK Limited

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2019.1669218

Reference34 articles.

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

2. Benchmark and mean-variance problems for insurers

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

4. Optimal investment–reinsurance policy for an insurance company with VaR constraint

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2. 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

3. Equilibrium Reinsurance Strategy and Mean Residual Life Function;Acta Mathematicae Applicatae Sinica, English Series;2024-06-05

4. Optimal robust reinsurance contracts with investment strategy under variance premium principle;Mathematical Control and Related Fields;2024

5. Robust reinsurance contract and investment with delay under mean-variance framework;Communications in Statistics - Theory and Methods;2023-11-27

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