Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps

By Yan Zeng, Danping Li, Ailing Gu. 2016

154 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/9096dbbb42434ed63a415077a3336683230edecf

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. Frederi G. Viens
2. Haixiang Yao
3. Ailing Gu

In Economics and Econometrics

1. Frederi G. Viens
2. Haixiang Yao
3. Ailing Gu
4. Ivan Nourdin
5. T. T. Diu Tran

In Management Science and Operations Research

1. Frederi G. Viens
2. Haixiang Yao
3. Ailing Gu

Citations in the corpus

• Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (2018, background): “Zeng et al. (2016) studied the equilibrium strategy of a robust optimal reinsurance-investment problem under the mean– variance criterion.”