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Optimal excess-of-loss reinsurance and investment problem for insurers with loss aversion

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Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean-variance insurer with ambiguity aversion

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Time-consistent reinsurance-investment strategy for a mean-variance insurer under stochastic interest rate model and inflation risk

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The optimal investment problem for an insurer and a reinsurer under the constant elasticity of variance model

Li, Danping; Rong, Ximin; Zhao, Hui - In: IMA journal of management mathematics 27 (2016) 2, pp. 255-280

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A class of nonzero-sum investment and reinsurance games subject to systematic risks

Siu, Chi Chung; Yam, Sheung Chi Phillip; Yang, Hailiang; … - In: Scandinavian actuarial journal (2017) 8, pp. 670-707

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Optimal excess-of-loss reinsurance and investment problem for an insurer with jump-diffusion risk process under the Heston model

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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