Robust time-consistent reinsurance-investment strategy with model uncertainty under 4/2 stochastic volatility model
Hao Chang and Zhen Chen
| Year of publication: |
2025
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|---|---|
| Authors: | Chang, Hao ; Chen, Zhen |
| Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2025.2025, 6, p. 574-597
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| Subject: | 4/2 stochastic volatility model | excess-of-loss reinsurance | Mean-variance criterion | proportional reinsurance | robust time-consistent strategy | stochastic optimal control theory | Stochastischer Prozess | Stochastic process | Rückversicherung | Reinsurance | Kontrolltheorie | Control theory | Volatilität | Volatility | Risikomodell | Risk model | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2024.2443849 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015534579