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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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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 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
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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