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Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model

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  1. Cao, Jingyi & Li, Dongchen & Young, Virginia R. & Zou, Bin, 2022. "Stackelberg differential game for insurance under model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 128-145.
  2. Guan, Guohui & Li, Bin, 2022. "Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution," Journal of Economic Dynamics and Control, Elsevier, vol. 143(C).
  3. Zhang, Liming & Li, Bin, 2021. "Optimal reinsurance under the α-maxmin mean-variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 225-239.
  4. Wang Chunfeng & Chang Hao & Fang Zhenming, 2017. "Optimal Consumption and Portfolio Decision with Heston’s SV Model Under HARA Utility Criterion," Journal of Systems Science and Information, De Gruyter, vol. 5(1), pages 21-33, February.
  5. Wang, Ning & Zhang, Nan & Jin, Zhuo & Qian, Linyi, 2019. "Robust non-zero-sum investment and reinsurance game with default risk," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 115-132.
  6. Ya Huang & Xiangqun Yang & Jieming Zhou, 2017. "Robust optimal investment and reinsurance problem for a general insurance company under Heston model," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(2), pages 305-326, April.
  7. Shen, Yang & Zeng, Yan, 2015. "Optimal investment–reinsurance strategy for mean–variance insurers with square-root factor process," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 118-137.
  8. Yanfei Bai & Zhongbao Zhou & Helu Xiao & Rui Gao & Feimin Zhong, 2021. "A stochastic Stackelberg differential reinsurance and investment game with delay in a defaultable market," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 94(3), pages 341-381, December.
  9. Chen, Zhiping & Yang, Peng, 2020. "Robust optimal reinsurance–investment strategy with price jumps and correlated claims," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 27-46.
  10. Yan Zhang & Peibiao Zhao & Rufei Ma, 2022. "Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with more General Dependent Claim Risks and Defaultable Risk," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2743-2777, December.
  11. Guan, Guohui & Hu, Xiang, 2022. "Equilibrium mean–variance reinsurance and investment strategies for a general insurance company under smooth ambiguity," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  12. Gu, Ailing & Viens, Frederi G. & Yi, Bo, 2017. "Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 235-249.
  13. Zhao, Hui & Shen, Yang & Zeng, Yan & Zhang, Wenjun, 2019. "Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 159-180.
  14. Wang, Pei & Li, Zhongfei, 2018. "Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 67-83.
  15. Guan, Guohui & Hu, Jiaqi & Liang, Zongxia, 2022. "Robust equilibrium strategies in a defined benefit pension plan game," Insurance: Mathematics and Economics, Elsevier, vol. 106(C), pages 193-217.
  16. A, Chunxiang & Li, Zhongfei, 2015. "Optimal investment and excess-of-loss reinsurance problem with delay for an insurer under Heston’s SV model," Insurance: Mathematics and Economics, Elsevier, vol. 61(C), pages 181-196.
  17. Li, Bin & Li, Danping & Xiong, Dewen, 2016. "Alpha-robust mean-variance reinsurance-investment strategy," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 101-123.
  18. Peng, Xingchun & Chen, Fenge & Hu, Yijun, 2014. "Optimal investment, consumption and proportional reinsurance under model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 222-234.
  19. Guan, Guohui & Liang, Zongxia & Feng, Jian, 2018. "Time-consistent proportional reinsurance and investment strategies under ambiguous environment," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 122-133.
  20. Xue, Xiaole & Wei, Pengyu & Weng, Chengguo, 2019. "Derivatives trading for insurers," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 40-53.
  21. Ying Zhao & Hui Mi & Lixia Xu, 2022. "Robust Optimal Investment Problem with Delay under Heston’s Model," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 1271-1296, June.
  22. Qiang Zhang & Ping Chen, 2020. "Optimal Reinsurance and Investment Strategy for an Insurer in a Model with Delay and Jumps," Methodology and Computing in Applied Probability, Springer, vol. 22(2), pages 777-801, June.
  23. Chen, Lv & Qian, Linyi & Shen, Yang & Wang, Wei, 2016. "Constrained investment–reinsurance optimization with regime switching under variance premium principle," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 253-267.
  24. Zhang, Xin & Meng, Hui & Zeng, Yan, 2016. "Optimal investment and reinsurance strategies for insurers with generalized mean–variance premium principle and no-short selling," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 125-132.
  25. Lu Yang & Chengke Zhang & Huainian Zhu, 2022. "Robust Stochastic Stackelberg Differential Reinsurance and Investment Games for an Insurer and a Reinsurer with Delay," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 361-384, March.
  26. Gu, Ailing & Viens, Frederi G. & Yao, Haixiang, 2018. "Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing," Insurance: Mathematics and Economics, Elsevier, vol. 80(C), pages 93-109.
  27. Sun, Jingyun & Yao, Haixiang & Kang, Zhilin, 2019. "Robust optimal investment–reinsurance strategies for an insurer with multiple dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 157-170.
  28. Zeng, Yan & Li, Danping & Chen, Zheng & Yang, Zhou, 2018. "Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 70-103.
  29. Pun, Chi Seng & Wong, Hoi Ying, 2016. "Robust non-zero-sum stochastic differential reinsurance game," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 169-177.
  30. Feng, Yang & Zhu, Jinxia & Siu, Tak Kuen, 2021. "Optimal risk exposure and dividend payout policies under model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 1-29.
  31. Zhu, Huainian & Cao, Ming & Zhang, Chengke, 2019. "Time-consistent investment and reinsurance strategies for mean-variance insurers with relative performance concerns under the Heston model," Finance Research Letters, Elsevier, vol. 30(C), pages 280-291.
  32. Guan, Guohui & Liang, Zongxia, 2019. "Robust optimal reinsurance and investment strategies for an AAI with multiple risks," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 63-78.
  33. Yumo Zhang, 2023. "Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-32, March.
  34. Li, Danping & Young, Virginia R., 2019. "Optimal reinsurance to minimize the discounted probability of ruin under ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 143-152.
  35. Zeng, Yan & Li, Danping & Gu, Ailing, 2016. "Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 138-152.
  36. He, Yong & Zhou, Xia & Chen, Peimin & Wang, Xiaoyang, 2022. "An analytical solution for the robust investment-reinsurance strategy with general utilities," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  37. Peng, Xingchun & Chen, Fenge & Wang, Wenyuan, 2021. "Robust optimal investment and reinsurance for an insurer with inside information," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 15-30.
  38. Zheng, Xiaoxiao & Zhou, Jieming & Sun, Zhongyang, 2016. "Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 77-87.
  39. Pun, Chi Seng & Wong, Hoi Ying, 2015. "Robust investment–reinsurance optimization with multiscale stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 62(C), pages 245-256.
  40. Chen, Dengsheng & He, Yong & Li, Ziqiang, 2023. "Robust optimal reinsurance–investment for α-maxmin mean–variance utility under Heston’s SV model," The North American Journal of Economics and Finance, Elsevier, vol. 67(C).
  41. Zhou Yang & Jing Zhang & Chao Zhou, 2022. "Robust control problems of BSDEs coupled with value functions," Papers 2208.10735, arXiv.org.
  42. Liu, Bing & Meng, Hui & Zhou, Ming, 2021. "Optimal investment and reinsurance policies for an insurer with ambiguity aversion," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
  43. Balter, Anne G. & Mahayni, Antje & Schweizer, Nikolaus, 2021. "Time-consistency of optimal investment under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 293(2), pages 643-657.
  44. Park, Kyunghyun & Wong, Hoi Ying & Yan, Tingjin, 2023. "Robust retirement and life insurance with inflation risk and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 1-30.
  45. Guohui Guan & Jiaqi Hu & Zongxia Liang, 2021. "Robust equilibrium strategies in a defined benefit pension plan game," Papers 2103.09121, arXiv.org.
  46. Bo Yi & Frederi Viens & Baron Law & Zhongfei Li, 2015. "Dynamic portfolio selection with mispricing and model ambiguity," Annals of Finance, Springer, vol. 11(1), pages 37-75, February.
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