Optimal Robust Reinsurance with Multiple Insurers
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References listed on IDEAS
- Bo Yi & Frederi Viens & Zhongfei Li & Yan Zeng, 2015. "Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2015(8), pages 725-751, November.
- Ailing Gu & Frederi G. Viens & Yang Shen, 2020. "Optimal excess-of-loss reinsurance contract with ambiguity aversion in the principal-agent model," Scandinavian Actuarial Journal, Taylor & Francis Journals, vol. 2020(4), pages 342-375, April.
- Bai, Yanfei & Zhou, Zhongbao & Xiao, Helu & Gao, Rui & Zhong, Feimin, 2022. "A hybrid stochastic differential reinsurance and investment game with bounded memory," European Journal of Operational Research, Elsevier, vol. 296(2), pages 717-737.
- Irgens, Christian & Paulsen, Jostein, 2004. "Optimal control of risk exposure, reinsurance and investments for insurance portfolios," Insurance: Mathematics and Economics, Elsevier, vol. 35(1), pages 21-51, August.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CTA-2023-09-25 (Contract Theory and Applications)
- NEP-GTH-2023-09-25 (Game Theory)
- NEP-RMG-2023-09-25 (Risk Management)
- NEP-UPT-2023-09-25 (Utility Models and Prospect Theory)
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