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The portfolios of an insurer and a reinsurer under exponential utility function, constant rate of returns and proportional reinsurance

Ihedioha, Silas A. - In: Inventi impact: microfinance & banking (2016) 2, pp. 65-76

Persistent link: https://www.econbiz.de/10011512827

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 dividend and reinsurance strategies with financing and liquidation value

Yao, Dingjun; Yang, Hailiang; Wang, Rongming - In: Astin bulletin : the journal of the International … 46 (2016) 2, pp. 365-399

Persistent link: https://www.econbiz.de/10011576767

Optimal investment problem of an insurer with consumption and dividends under proportional reinsurance and exponential utility preference : the implication of mode of taxation and...

Ihedioha, Silas A. - In: Inventi impact: microfinance & banking (2016) 4, pp. 195-204

Persistent link: https://www.econbiz.de/10011588905

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 … importance of ambiguity aversion, credit risk and their interplay in insurance business …

Persistent link: https://www.econbiz.de/10012912416

Time-Consistent Investment and Reinsurance Strategies for Insurers Under Multi-Period Mean-Variance Formulation with Generalized Correlated Returns

Zhou, Zhongbao - 2020

The existing literature on investment and reinsurance is limited to the study of continuous-time problems, while … reinsurance optimization problem under the classical mean-variance framework. When the asset returns with a serially correlated … structure, the time-consistent investment and reinsurance strategies are acquired via backward induction. In addition, we …

Persistent link: https://www.econbiz.de/10012845650

Time-consistent reinsurance and investment strategies for an AAI under smooth ambiguity utility

Guan, Guohui; Wang, Xiaojun - In: Scandinavian actuarial journal 2020 (2020) 8, pp. 677-699

Persistent link: https://www.econbiz.de/10012313721

Robust optimal investment and reinsurance for an insurer with inside information

Peng, Xingchun; Chen, Fenge; Wang, Wenyuan - In: Insurance / Mathematics & economics 96 (2021), pp. 15-30

Persistent link: https://www.econbiz.de/10012482740

Decrease of capital guarantees in life insurance products : can reinsurance stop it?

Escobar, Marcos; Havrylenko, Yevhen; Kschonnek, Michel; … - In: Insurance / Mathematics & economics 105 (2022), pp. 14-40

Persistent link: https://www.econbiz.de/10013348899

Volterra mortality model : actuarial valuation and risk management with long-range dependence

Wang, Ling; Chiu, Mei Choi; Wong, Hoi Ying - In: Insurance / Mathematics & economics 96 (2021), pp. 1-14

Persistent link: https://www.econbiz.de/10012482737