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On existence and uniqueness of the principle of equivalent utility under Cumulative Prospect Theory
Chudziak, J. - In: Insurance / Mathematics & economics 79 (2018), pp. 243-246
Persistent link: https://www.econbiz.de/10011825485
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Optimal investment, consumption and proportional reinsurance under model uncertainty
Peng, Xingchun; Chen, Fenge; Hu, Yijun - In: Insurance / Mathematics & economics 59 (2014), pp. 222-234
Persistent link: https://www.econbiz.de/10010469132
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Optimal risk exposure and dividend payout policies under model uncertainty
Feng, Yang; Zhu, Jinxia; Siu, Tak Kuen - In: Insurance / Mathematics & economics 100 (2021), pp. 1-29
Persistent link: https://www.econbiz.de/10012622379
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Concave/convex weighting and utility functions for risk : a new light on classical theorems
Wakker, Peter P.; Yang, Jingni - In: Insurance / Mathematics & economics 100 (2021), pp. 429-435
Persistent link: https://www.econbiz.de/10012622403
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Robust LMI stability, stabilization and H∞ control for premium pricing models with uncertainties into a stochastic discrete-time framework
Pantelous, Athanasios A.; Yang, Lin - In: Insurance / Mathematics & economics 59 (2014), pp. 133-143
Persistent link: https://www.econbiz.de/10010469163
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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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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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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
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Robust non-zero-sum stochastic differential reinsurance game
Pun, Chi Seng; Wong, Hoi Ying - In: Insurance / Mathematics & economics 68 (2016), pp. 169-177
Persistent link: https://www.econbiz.de/10011492656
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Comparative ambiguity aversion and downside ambiguity aversion
Huang, Yi-Chieh; Tzeng, Larry Y.; Zhao, Lin - In: Insurance / Mathematics & economics 62 (2015), pp. 257-269
Persistent link: https://www.econbiz.de/10011312059