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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
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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
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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
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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
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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
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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
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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
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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
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Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
Gu, Ailing; Viens, Frederi G.; Yao, Haixiang - In: Insurance / Mathematics & economics 80 (2018), pp. 93-109
Persistent link: https://www.econbiz.de/10011872916
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Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model
Gu, Ailing; Viens, Frederi G.; Shen, Yang - In: Scandinavian actuarial journal 2020 (2020) 4, pp. 342-375
Persistent link: https://www.econbiz.de/10012262741