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Optimal investment and reinsurance of an insurer with model uncertainty
Zhang, Xin; Siu, Tak Kuen - In: Insurance / Mathematics & economics 45 (2009) 1, pp. 81-88
Persistent link: https://www.econbiz.de/10009517594
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Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion
Zhao, Hui; Shen, Yang; Zeng, Yan; Zhang, WenJun - In: Insurance / Mathematics & economics 88 (2019), pp. 159-180
Persistent link: https://www.econbiz.de/10012105537
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Analysis of risk bounds in partially specified additive factor models
Rüschendorf, Ludger - In: Insurance / Mathematics & economics 86 (2019), pp. 115-121
Persistent link: https://www.econbiz.de/10012058839
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Upper bounds for strictly concave distortion risk measures on moment spaces
Cornilly, D.; Rüschendorf, Ludger; Vanduffel, Steven - In: Insurance / Mathematics & economics 82 (2018), pp. 141-151
Persistent link: https://www.econbiz.de/10011929851
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Inf-convolution and optimal allocations for mixed-VaRs
Xia, Zichao; Zou, Zhenfeng; Hu, Taizhong - In: Insurance / Mathematics & economics 108 (2023), pp. 156-164
Persistent link: https://www.econbiz.de/10013534516
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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 reinsurance to minimize the discounted probability of ruin under ambiguity
Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152
Persistent link: https://www.econbiz.de/10012058937
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Time-consistent proportional reinsurance and investment strategies under ambiguous environment
Guan, Guohui; Liang, Zongxia; Feng, Jian - In: Insurance / Mathematics & economics 83 (2018), pp. 122-133
Persistent link: https://www.econbiz.de/10011944107
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A new stochastic dominance criterion for dependent random variables with applications
Belzunce, Félix; Martinez-Riquelme, Carolina - In: Insurance / Mathematics & economics 108 (2023), pp. 165-176
Persistent link: https://www.econbiz.de/10013534518
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Policymakers' uncertainty
Cieślak, Anna; Hansen, Stephen; McMahon, Michael; … - 2023
Persistent link: https://www.econbiz.de/10014391687