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Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model

Gu, Ailing; Chen, Shumin; Li, Zhongfei; Viens, Frederi G. - In: Scandinavian actuarial journal 2022 (2022) 9, pp. 749-774

Persistent link: https://www.econbiz.de/10013419039

Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity

Gu, Ailing; Viens, Frederi G.; Yi, Bo - In: Insurance / Mathematics & economics 72 (2017), pp. 235-249

Persistent link: https://www.econbiz.de/10011694708

Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon

Zeng, Yan; Wu, Huiling; Lai, Yongzeng - In: Economic modelling 33 (2013), pp. 462-470

Persistent link: https://www.econbiz.de/10010192881

Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou - In: Journal of economic dynamics & control 88 (2018), pp. 70-103

Persistent link: https://www.econbiz.de/10011973926

Robust Equilibrium Excess-of-Loss Reinsurance and CDS Investment Strategies for a Mean-Variance Insurer with Ambiguity Aversion

Zhao, Hui - 2018

This paper considers the robust equilibrium reinsurance and investment strategies for an ambiguity-averse insurer under a dynamic mean-variance criterion. The insurer is allowed to purchase excess-of-loss reinsurance and invest in a financial market consisting of a risk-free asset and a credit...

Persistent link: https://www.econbiz.de/10012912416

Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion

Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, WenJun - In: Insurance / Mathematics & economics 88 (2019), pp. 159-180

Persistent link: https://www.econbiz.de/10012105537

Dynamic portfolio selection with mispricing and model ambiguity

Yi, Bo; Viens, Frederi G.; Law, Baron; Li, Zhongfei - In: Annals of finance 11 (2015) 1, pp. 37-75

Persistent link: https://www.econbiz.de/10011376170

An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution

Kang, Zhilin; Li, Zhongfei - In: Mathematical methods of operations research 87 (2018) 2, pp. 169-195

Persistent link: https://www.econbiz.de/10011873984