Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion-Reference-Cited by-同舟云学术

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Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion

Published:2019-09 Issue: Volume:88 Page:159-180
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Zhao Hui,Shen Yang,Zeng Yan,Zhang Wenjun^ORCID

Funder

National Natural Science Foundation of China

Fok Ying Tung Education Foundation, China

Guangdong Natural Science Foundation for Distinguished Young Scholar, China

GDUPS, China

Major Program of the National Social Science Foundation of China

Natural Sciences and Engineering Research Council of Canada

Publisher

Elsevier BV

Subject

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

Reference58 articles.

1. Mutual excitation in Eurozone sovereign CDS;Aït-Sahalia;J. Econometrics,2014

2. The credit default swap market: What a difference a decade makes;Aldasoro;BIS Q. Rev.,2018

3. Subprime mortgage defaults and credit default swaps;Arentsen;J. Finance,2015

4. Optimal risk control and dividend distribution policies: example of excess-of-loss reinsurance for an insurance corporation;Asmussen;Finance Stoch.,2000

5. Credit default swaps: A survey;Augustin;Found. Trends Finance,2014

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1. Robust Risk Control with Reinsurance and CAT Bonds;North American Actuarial Journal;2024-09-03

2. Time-Consistent Strategies for DC Pension Plans with the Return of Premiums Clauses in Stochastic Environments;Journal of the Operations Research Society of China;2024-07-31

3. On Penalized Goal-Reaching Probability Minimization with a Common Shock for an AAI;Journal of Systems Science and Complexity;2024-07-11

4. Optimal Reinsurance and Derivative-Based Investment Decisions for Insurers with Mean-Variance Preference;Mathematics;2024-06-30

5. Robust non-zero-sum stochastic differential game of two insurers with common shock and CDS transaction;Mathematics and Financial Economics;2024-03

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