Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
Ailing Gu, Frederi G. Viens, Haixiang Yao
| Year of publication: |
May 2018
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|---|---|
| Authors: | Gu, Ailing ; Viens, Frederi G. ; Yao, Haixiang |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 80.2018, p. 93-109
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| Subject: | Proportional reinsurance | Robust control | Optimal investment strategy | Utility function | Mispricing | Theorie | Theory | Portfolio-Management | Portfolio selection | Rückversicherung | Reinsurance | Mean Reversion | Mean reversion | Nutzenfunktion | Versicherung | Insurance | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.insmatheco.2018.03.004 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011872916