Matches in SemOpenAlex for { <https://semopenalex.org/work/W2887263516> ?p ?o ?g. }
Showing items 1 to 86 of
86
with 100 items per page.
- W2887263516 endingPage "76" @default.
- W2887263516 startingPage "59" @default.
- W2887263516 abstract "This paper studies a robust optimal investment and reinsurance problem under model uncertainty. The insurer's risk process is modeled by a general jump process generated by a marked point process. By transferring a proportion of insurance risk to a reinsurance company and investing the surplus into the financial market with a bond and a share index, the insurance company aims to maximize the minimal expected terminal wealth with a penalty. By using the dynamic programming, we formulate the robust optimal investment and reinsurance problem into a two-person, zero-sum, stochastic differential game between the investor and the market. Closed-form solutions for the case of the quadratic penalty function are derived in our paper." @default.
- W2887263516 created "2018-08-22" @default.
- W2887263516 creator A5005066179 @default.
- W2887263516 creator A5051020416 @default.
- W2887263516 creator A5058824666 @default.
- W2887263516 creator A5067866947 @default.
- W2887263516 date "2019-01-01" @default.
- W2887263516 modified "2023-09-26" @default.
- W2887263516 title "Robust optimal investment and reinsurance of an insurer under Jump-diffusion models" @default.
- W2887263516 doi "https://doi.org/10.3934/mcrf.2019003" @default.
- W2887263516 hasPublicationYear "2019" @default.
- W2887263516 type Work @default.
- W2887263516 sameAs 2887263516 @default.
- W2887263516 citedByCount "3" @default.
- W2887263516 countsByYear W28872635162019 @default.
- W2887263516 countsByYear W28872635162020 @default.
- W2887263516 countsByYear W28872635162023 @default.
- W2887263516 crossrefType "journal-article" @default.
- W2887263516 hasAuthorship W2887263516A5005066179 @default.
- W2887263516 hasAuthorship W2887263516A5051020416 @default.
- W2887263516 hasAuthorship W2887263516A5058824666 @default.
- W2887263516 hasAuthorship W2887263516A5067866947 @default.
- W2887263516 hasBestOaLocation W28872635161 @default.
- W2887263516 hasConcept C103144560 @default.
- W2887263516 hasConcept C121332964 @default.
- W2887263516 hasConcept C126255220 @default.
- W2887263516 hasConcept C144237770 @default.
- W2887263516 hasConcept C162118730 @default.
- W2887263516 hasConcept C162324750 @default.
- W2887263516 hasConcept C166970017 @default.
- W2887263516 hasConcept C175444787 @default.
- W2887263516 hasConcept C17744445 @default.
- W2887263516 hasConcept C181622380 @default.
- W2887263516 hasConcept C199539241 @default.
- W2887263516 hasConcept C27548731 @default.
- W2887263516 hasConcept C2776825372 @default.
- W2887263516 hasConcept C2778475510 @default.
- W2887263516 hasConcept C2779006483 @default.
- W2887263516 hasConcept C2779664328 @default.
- W2887263516 hasConcept C2780695682 @default.
- W2887263516 hasConcept C33923547 @default.
- W2887263516 hasConcept C37404715 @default.
- W2887263516 hasConcept C62520636 @default.
- W2887263516 hasConcept C94625758 @default.
- W2887263516 hasConceptScore W2887263516C103144560 @default.
- W2887263516 hasConceptScore W2887263516C121332964 @default.
- W2887263516 hasConceptScore W2887263516C126255220 @default.
- W2887263516 hasConceptScore W2887263516C144237770 @default.
- W2887263516 hasConceptScore W2887263516C162118730 @default.
- W2887263516 hasConceptScore W2887263516C162324750 @default.
- W2887263516 hasConceptScore W2887263516C166970017 @default.
- W2887263516 hasConceptScore W2887263516C175444787 @default.
- W2887263516 hasConceptScore W2887263516C17744445 @default.
- W2887263516 hasConceptScore W2887263516C181622380 @default.
- W2887263516 hasConceptScore W2887263516C199539241 @default.
- W2887263516 hasConceptScore W2887263516C27548731 @default.
- W2887263516 hasConceptScore W2887263516C2776825372 @default.
- W2887263516 hasConceptScore W2887263516C2778475510 @default.
- W2887263516 hasConceptScore W2887263516C2779006483 @default.
- W2887263516 hasConceptScore W2887263516C2779664328 @default.
- W2887263516 hasConceptScore W2887263516C2780695682 @default.
- W2887263516 hasConceptScore W2887263516C33923547 @default.
- W2887263516 hasConceptScore W2887263516C37404715 @default.
- W2887263516 hasConceptScore W2887263516C62520636 @default.
- W2887263516 hasConceptScore W2887263516C94625758 @default.
- W2887263516 hasIssue "1" @default.
- W2887263516 hasLocation W28872635161 @default.
- W2887263516 hasOpenAccess W2887263516 @default.
- W2887263516 hasPrimaryLocation W28872635161 @default.
- W2887263516 hasRelatedWork W1979669625 @default.
- W2887263516 hasRelatedWork W2015767045 @default.
- W2887263516 hasRelatedWork W2337717143 @default.
- W2887263516 hasRelatedWork W2351258383 @default.
- W2887263516 hasRelatedWork W2374942893 @default.
- W2887263516 hasRelatedWork W2560553738 @default.
- W2887263516 hasRelatedWork W2801500663 @default.
- W2887263516 hasRelatedWork W3012376479 @default.
- W2887263516 hasRelatedWork W3090625796 @default.
- W2887263516 hasRelatedWork W3137393630 @default.
- W2887263516 hasVolume "9" @default.
- W2887263516 isParatext "false" @default.
- W2887263516 isRetracted "false" @default.
- W2887263516 magId "2887263516" @default.
- W2887263516 workType "article" @default.