Optimal investment and reinsurance of an insurer with model uncertainty

By Xin Zhang, Tak Kuen Siu. 2009

96 citations recorded by the source corpus.

Subfields: Demography, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d4230f8ea8a7599b4b4ab609ae0265c64a0c4d87

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. Yang Shen
2. Yan Zeng
3. Zhongfei Li
4. Lv Chen
5. Robert J. R. Elliott
6. Frederi G. Viens
7. Ailing Gu
8. Hoi Ying Wong

In Economics and Econometrics

1. Yang Shen
2. Zhongfei Li
3. Yan Zeng
4. Tak Kuen Siu
5. Lv Chen
6. Ailing Gu
7. Frederi G. Viens
8. Chi Seng Pun

In Finance

1. Yang Shen
2. Zhongfei Li
3. Yan Zeng
4. Lv Chen
5. Tak Kuen Siu
6. Robert J. R. Elliott
7. Frederi G. Viens
8. Ailing Gu

Citations in the corpus

• A stochastic differential game for optimal investment of an insurer with regime switching (2011, background): “Zhang and Siu (2009) studied an optimal reinsurance/investment problem of an insurance company with model uncertainty.”
• Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model (2013, background): “Since the term 1 ϕ R vanishes, the scenario will degenerate to the situation discussed in Zhang & Siu (2009) and Lin et al. (2011), in which the interpretation of robustness is arguably less quantitatively clear.”
• Optimal Reinsurance and Investment for a Jump Diffusion Risk Process under the CEV Model (2011, background): “Zhang and Siu (2009) considered an optimal reinsurance-investment problem in the presence of model uncertainty and formulated the problem into a zero-sum stochastic differential game between the insurer and the market.”
• Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing (2018, background): “For instance, Zhang and Siu (2009) and Korn et al. (2012) used stochastic differential games to study the optimal reinsurance-investment problem with ambiguity; Yi et al. (2013, 2015a, b) studied the optimal proportional reinsurance-investment strategy with ambiguity aversion under expected utility…”
• Robust non-zero-sum stochastic differential reinsurance game (2016, methodology): “…allocation framework via a regularized max-min expected utility approach in accordance with the robust decision rules in Anderson et al. (1999); Zhang and Siu (2009), who focus on the robust IR problem via a max-min expected utility approach; Yi et al. (2013), who extend the approach of…”
• ON A NEW PARADIGM OF OPTIMAL REINSURANCE: A STOCHASTIC STACKELBERG DIFFERENTIAL GAME BETWEEN AN INSURER AND A REINSURER (2018, background): “Further investigations to optimal investment and reinsurance problems can be found in Zhang and Siu (2009), Zeng and Li (2011), Lin et al. (2012), Chen and Yam (2013), Shen and Zeng (2014, 2015) and Zhao et al. (2016), just to name a few.”