Optimal investment and reinsurance of an insurer with model uncertainty
Author:
Publisher
Elsevier BV
Subject
Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability
Reference18 articles.
1. Benchmark and mean-variance problems for insurers;Bäuerle;Mathematical Methods of Operations Research,2005
2. Stochastic differential portfolio games;Browne;Journal of Applied Probability,2000
3. A discussion of parameter and model uncertainty in insurance;Cairns;Insurance Mathematics and Economics,2000
4. A diffusion model for optimal dividend distribution for a company with constraints on risk control;Choulli;SIAM Journal on Control and Optimization,2003
5. Model uncertainty and its impact on the pricing of derivative instruments;Cont;Mathematical Finance,2006
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1. Robust Risk Control with Reinsurance and CAT Bonds;North American Actuarial Journal;2024-09-03
2. Optimal investment and reinsurance strategies for an insurer with regime-switching;Mathematics and Financial Economics;2024-08-21
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4. Robust optimal dividend and reinsurance under model uncertainty;Mathematical Foundations of Computing;2024
5. Stackelberg reinsurance chain under model ambiguity;Scandinavian Actuarial Journal;2023-09-07
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