Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
Hui Zhao, Yang Shen, Yan Zeng, Wenjun Zhang
| Year of publication: |
2019
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|---|---|
| Authors: | Zhao, Hui ; Shen, Yang ; Zeng, Yan ; Zhang, WenJun |
| Published in: |
Insurance. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 88.2019, p. 159-180
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| Subject: | Excess-of-loss reinsurance | Credit default swap | Mean-variance criterion | Model uncertainty | Robust equilibrium strategy | Kreditderivat | Credit derivative | Rückversicherung | Reinsurance | Theorie | Theory | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk | Risikoaversion | Risk aversion | Risikomodell | Risk model | Kreditversicherung | Credit insurance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.06.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012105537