Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion-Reference-Cited by-同舟云学术

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Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion

Published:2024-08-30 Issue: Volume: Page:1-21
ISSN:2475-4269
Container-title:Statistical Theory and Related Fields
language:en
Short-container-title:Statistical Theory and Related Fields

Author:

Gu Ailing¹,Zhang Xuanzhen¹,Chen Shumin²,Zhang Ling³

Affiliation:

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

2. School of Management, Guangdong University of Technology, Guangzhou, People's Republic of China

3. School of National Finance, Guangdong University of Finance, Guangzhou, People's Republic of China

Funder

National Natural Science Foundation of China

Publisher

Informa UK Limited

Link

https://www.tandfonline.com/doi/pdf/10.1080/24754269.2024.2393062

Reference37 articles.

1. X-CAPM: An extrapolative capital asset pricing model

2. A class of non-zero-sum stochastic differential investment and reinsurance games

3. The Pricing of Options and Corporate Liabilities

4. The safety loading of reinsurance premiums

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