Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
Ailing Gu, Frederi G. Viens, Bo Yi
| Year of publication: |
January 2017
|
|---|---|
| Authors: | Gu, Ailing ; Viens, Frederi G. ; Yi, Bo |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 72.2017, p. 235-249
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| Subject: | Proportional reinsurance | Robust control | Optimal investment strategy | Utility function | Mispricing | Rückversicherung | Reinsurance | Theorie | Theory | Portfolio-Management | Portfolio selection | Versicherung | Insurance | Nutzenfunktion | Anlageverhalten | Behavioural finance | Risikoaversion | Risk aversion | Entscheidung unter Unsicherheit | Decision under uncertainty |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2016.11.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011694708