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Robust optimal investment and reinsurance problems with learning

Published:2020-08-25 Issue:2 Volume:2021 Page:82-109
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Bäuerle Nicole¹,Leimcke Gregor¹

Affiliation:

1. Department of Mathematics, Karlsruhe Institute of Technology (KIT), Karlsruhe, Germany

Publisher

Informa UK Limited

Subject

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

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2020.1806917

Reference32 articles.

1. Optimal reinsurance policies for an insurer with a bivariate reserve risk process in a dynamic setting

2. Optimal control and dependence modeling of insurance portfolios with Lévy dynamics

3. Multivariate risk processes with interacting intensities

Cited by 14 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. Portfolio and reinsurance optimization under unknown market price of risk;Quantitative Finance;2024-08-15

2. Limit equations of adaptive Erlangization and their application to environmental management;Computers & Mathematics with Applications;2023-09

3. Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs;North American Actuarial Journal;2023-06-06

4. Stochastic Differential Games on Optimal Investment and Reinsurance Strategy with Delay Under the CEV Model;Methodology and Computing in Applied Probability;2023-05-16

5. A Stackelberg reinsurance-investment game under α -maxmin mean-variance criterion and stochastic volatility;Scandinavian Actuarial Journal;2023-05-03

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