Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps-Reference-Cited by-同舟云学术

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Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

Published:2017-04-04 Issue:2 Volume:2018 Page:145-171
ISSN:0346-1238
Container-title:Scandinavian Actuarial Journal
language:en
Short-container-title:Scandinavian Actuarial Journal

Author:

Li Danping¹,Zeng Yan²,Yang Hailiang³

Affiliation:

1. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada.

2. Lingnan (University) College, Sun Yat-sen University, Guangzhou, P.R. China.

3. Department of Statistics and Actuarial Science, The University of Hong Kong, Hong Kong, P.R. China.

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Subject

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

Link

https://www.tandfonline.com/doi/pdf/10.1080/03461238.2017.1309679

Reference30 articles.

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

2. Optimal risk control and dividend distribution policies. Example of excess-of loss reinsurance for an insurance corporation

3. Optimal dynamic excess-of-loss reinsurance and multidimensional portfolio selection

4. Dynamic mean-variance and optimal reinsurance problems under the no-bankruptcy constraint for an insurer

5. Robust portfolio choice with uncertainty about jump and diffusion risk

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