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Portfolio selection with parameter uncertainty under maxmin mean-variance criterion

Yu, Xingying; Shen, Yang; Li, Xiang; Fan, Kun - In: Operations research letters 48 (2020) 6, pp. 720-724

Persistent link: https://www.econbiz.de/10012430078

Optimal payout strategies when Bruno de Finetti meets model uncertainty

Feng, Yang; Siu, Tak Kuen; Zhu, Jinxia - In: Insurance : mathematics and economics 116 (2024), pp. 148-164

Persistent link: https://www.econbiz.de/10015066799

Optimal investment and reinsurance of an insurer with model uncertainty

Zhang, Xin; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 81-88

Persistent link: https://www.econbiz.de/10009517594

Household consumption-investment-insurance decisions with uncertain income and market ambiguity

Wang, Ning; Jin, Zhuo; Siu, Tak Kuen; Qiu, Ming - In: Scandinavian actuarial journal 2021 (2021) 10, pp. 832-865

Persistent link: https://www.econbiz.de/10012696889

Optimal risk exposure and dividend payout policies under model uncertainty

Feng, Yang; Zhu, Jinxia; Siu, Tak Kuen - In: Insurance / Mathematics & economics 100 (2021), pp. 1-29

Persistent link: https://www.econbiz.de/10012622379

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

Life-cycle planning with ambiguous economics and mortality risks

Shen, Yang; Su, Jianxi - In: North American actuarial journal : NAAJ ; leading the … 23 (2019) 4, pp. 598-625

Persistent link: https://www.econbiz.de/10012180652