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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

Persistent link: https://www.econbiz.de/10011848596

Time-consistent investment-proportional reinsurance strategy with random coefficients for mean-variance insurers

Wang, Hao; Wang, Rongming; Wei, Jiaqin - In: Insurance / Mathematics & economics 85 (2019), pp. 104-114

Persistent link: https://www.econbiz.de/10011990618

Robust optimal reinsurance and investment strategies for an AAI with multiple risks

Guan, Guohui; Liang, Zongxia - In: Insurance / Mathematics & economics 89 (2019), pp. 63-78

Persistent link: https://www.econbiz.de/10012133510

An insurance risk model with stochastic volatility

Chi, Yichun; Jaimungal, Sebastian; Lin, X. Sheldon - In: Insurance / Mathematics & economics 46 (2010) 1, pp. 52-66

Persistent link: https://www.econbiz.de/10003953303

Estimating the volatility of non-life premium risk under Solvency II : discussion of Danish fire insurance data

Cerchiara, Rocco Roberto; Acri, Francesco - In: Risks : open access journal 8 (2020) 3/74, pp. 1-19

We studied the volatility assumption of non-life premium risk under the Solvency II Standard Formula and developed an empirical model on real data, the Danish fire insurance data. Our empirical model accomplishes two things. Primarily, compared to the present literature, this paper innovates the...

Persistent link: https://www.econbiz.de/10012293140

The fluctuations of insurers' risk appetite

Luciano, Elisa; Rochet, Jean-Charles - In: Journal of economic dynamics & control 144 (2022), pp. 1-20

Persistent link: https://www.econbiz.de/10013543144

A Stackelberg reinsurance-investment game underα-maxminmean-variance criterion and stochastic volatility

Guana, Guohui; Liang, Zongxia; Song, Yilun - In: Scandinavian actuarial journal 2024 (2024) 1, pp. 28-63

Persistent link: https://www.econbiz.de/10014519918

Pricing of guaranteed minimum withdrawal benefits in variable annuities under stochastic volatility, stochastic interest rates and stochastic mortality via the componentwise splitt...

Gudkov, Nikolay; Ignatieva, Ekaterina; Ziveyi, Jonathan - In: Quantitative finance 19 (2019) 3, pp. 501-518

Persistent link: https://www.econbiz.de/10012194671

Analysis of systemic risk in the insurance industry

Bobtcheff, Catherine; Chaney, Thomas; Gollier, Christian - In: The Geneva risk and insurance review 41 (2016) 1, pp. 73-106

Persistent link: https://www.econbiz.de/10011447290

Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements

Bonaccolto, G.; Caporin, Massimiliano; Zambon, N. - In: The European journal of finance 27 (2021) 11, pp. 1098-1116

Persistent link: https://www.econbiz.de/10012609265

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