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~subject:"Decision under uncertainty"
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Decision under uncertainty
Stochastic process
13
Stochastischer Prozess
13
Volatility
10
Volatilität
10
Option pricing theory
9
Optionspreistheorie
9
Theorie
9
Theory
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Portfolio selection
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Portfolio-Management
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Reinsurance
5
Rückversicherung
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Stochastic volatility
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Estimation
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Mispricing
4
Risikoaversion
4
Risk aversion
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Robust control
4
Entscheidung unter Unsicherheit
3
Finanzmathematik
3
Insurance
3
Schätzung
3
Time series analysis
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Utility maximization
3
Versicherung
3
Zeitreihenanalyse
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Agency theory
2
Dynamic programming
2
Dynamische Optimierung
2
Financial Engineering
2
Financial engineering
2
Long memory
2
Market microstructure
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Marktmikrostruktur
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Mathematical finance
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Model ambiguity
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Monte Carlo simulation
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Monte-Carlo-Simulation
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English
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Viens, Frederi G.
3
Gu, Ailing
2
Li, Zhongfei
2
Yi, Bo
2
Chen, Shumin
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Law, Baron
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Annals of finance
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Insurance / Mathematics & economics
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Scandinavian actuarial journal
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ECONIS (ZBW)
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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
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2
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
Saved in:
3
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
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