Robust investment–reinsurance optimization with multiscale stochastic volatility

By Chi Seng Pun, Hoi Ying Wong. 2015

66 citations recorded by the source corpus.

Subfields: Demography, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/05ba60ce4276701ef3500bab34a47fb3d88bb6d7

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Demography

1. Ailing Gu
2. Danping Li
3. Yan Zeng
4. Yang Shen

In Finance

1. Ailing Gu
2. Danping Li
3. Yan Zeng
4. Zhongfei Li
5. Yang Shen

In Management Science and Operations Research

1. Ailing Gu
2. Yan Zeng
3. Danping Li

Citations in the corpus

• Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2016, background): “Pun and Wong (2015) consider the problem of robust optimal reinsurance-investment with multi-scale stochastic volatility using a general concave utility function.”