Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model

By Xiaoxiao Zheng, Jieming Zhou, Zhongyang Sun. 2016

81 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/432844126ba031911ff2550f532bfac974e119d0

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. Pei Wang
2. Zhongfei Li
3. Yan Zeng

In Economics and Econometrics

1. Pei Wang
2. Zhongfei Li
3. Yan Zeng

In Finance

1. Pei Wang
2. Zhongfei Li
3. Yan Zeng

Citations in the corpus

• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility (2018, methodology): “In addition, Yi et al. (2013) and Zheng et al. (2016) study optimal reinsurance–investment problems for ambiguityaverse insurers under stochastic volatility using the Heston’s SV model and the CEV model, respectively.”