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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

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 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

Optimal dividend strategies with time-inconsistent preferences

Chen, Shumin; Li, Zhongfei; Zeng, Yan - In: Journal of economic dynamics & control 46 (2014), pp. 150-172

Persistent link: https://www.econbiz.de/10010474399

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

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

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