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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

Optimal investment and reinsurance strategies under 4/2 stochastic volatility model

Wang, Wenyuan; Muravey, Dmitry; Shen, Yang; Zeng, Yan - 2023

Persistent link: https://www.econbiz.de/10014336459

Optimal time-consistent investment and reinsurance policies for mean-variance insurers

Zeng, Yan; Li, Zhongfei - In: Insurance / Mathematics & economics 49 (2011) 1, pp. 145-154

Persistent link: https://www.econbiz.de/10009157423

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 control for an insurer with reinsurance and investment under Heston's stochastic volatility model

Yi, Bo; Li, Zhongfei; Viens, Frederi G.; Zeng, Yan - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 601-614

Persistent link: https://www.econbiz.de/10010227929

Optimal control of excess-of-loss reinsurance and investment for insurers under a CEV model

Gu, Ailing; Guo, Xianping; Li, Zhongfei; Zeng, Yan - In: Insurance / Mathematics & economics 51 (2012) 3, pp. 674-684

Persistent link: https://www.econbiz.de/10009683195

Optimal time-consistent investment and reinsurance strategies for insurers under Heston's SV model

Li, Zhongfei; Zeng, Yan; Lai, Yongzeng - In: Insurance / Mathematics & economics 51 (2012) 1, pp. 191-203

Persistent link: https://www.econbiz.de/10009558139

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

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