Robust optimal investment-reinsurance strategies for an insurer with multiple dependent risks
Jingyun Sun, Haixiang Yao, Zhilin Kang
| Year of publication: |
2019
|
|---|---|
| Authors: | Sun, Jingyun ; Yao, Haixiang ; Kang, Zhilin |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 89.2019, p. 157-170
|
| Subject: | Ambiguity-averse insurer | Multiple dependent risks | Robust optimal control | Square-root factor process | Suboptimal strategy | Utility loss | Theorie | Theory | Risikomodell | Risk model | Risikomanagement | Risk management | Robustes Verfahren | Robust statistics | Versicherung | Insurance | Risiko | Risk | Portfolio-Management | Portfolio selection | Versicherungsökonomik | Economics of insurance |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2019.09.006 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012133523