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Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

Zeng, Yan; Li, Danping; Gu, Ailing - In: Insurance / Mathematics & economics 66 (2016), pp. 138-152

Persistent link: https://www.econbiz.de/10011442729

Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps

Zeng, Yan; Li, Zhongfei; Lai, Yongzeng - In: Insurance / Mathematics & economics 52 (2013) 3, pp. 498-507

Persistent link: https://www.econbiz.de/10009763600

Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps

Li, Danping; Zeng, Yan; Yang, Hailiang - In: Scandinavian actuarial journal (2018) 2, pp. 145-171

Persistent link: https://www.econbiz.de/10011881073

Optimal investment and reinsurance strategies for insurers with generalized mean-variance premium principle and no-short selling

Zhang, Xin; Meng, Hui; Zeng, Yan - In: Insurance / Mathematics & economics 67 (2016), pp. 125-132

Persistent link: https://www.econbiz.de/10011457200

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

Optimal time-consistent investment and reinsurance strategies for mean-variance insurers with state dependent risk aversion

Li, Yongwu; Li, Zhongfei - In: Insurance / Mathematics & economics 53 (2013) 1, pp. 86-97

Persistent link: https://www.econbiz.de/10009785417