Matches in SemOpenAlex for { <https://semopenalex.org/work/W4200600246> ?p ?o ?g. }
Showing items 1 to 82 of
82
with 100 items per page.
- W4200600246 abstract "In this paper, we consider the robust investment and reinsurance problem with bounded memory and risk co-shocks under a jump-diffusion risk model. The insurer is assumed to be ambiguity-averse and make the optimal decision under the mean-variance criterion. The insurance market is described by two-dimensional dependent claims while the risky asset is depicted by the jump-diffusion model. By introducing the performance in the past, we derive the wealth process depicted by a stochastic delay differential equation (SDDE). Applying the stochastic control theory under the game-theoretic framework, together with stochastic control theory with delay, the robust equilibrium investment-reinsurance strategy and the corresponding robust equilibrium value function are derived. Furthermore, some numerical examples are provided to illustrate the effect of market parameters on the optimal investment and reinsurance strategy." @default.
- W4200600246 created "2021-12-31" @default.
- W4200600246 creator A5029234133 @default.
- W4200600246 date "2021-12-16" @default.
- W4200600246 modified "2023-10-01" @default.
- W4200600246 title "Robust equilibrium investment and reinsurance strategy with bounded memory and common shock dependence" @default.
- W4200600246 doi "https://doi.org/10.1051/ro/2021182" @default.
- W4200600246 hasPublicationYear "2021" @default.
- W4200600246 type Work @default.
- W4200600246 citedByCount "0" @default.
- W4200600246 crossrefType "journal-article" @default.
- W4200600246 hasAuthorship W4200600246A5029234133 @default.
- W4200600246 hasBestOaLocation W42006002461 @default.
- W4200600246 hasConcept C103144560 @default.
- W4200600246 hasConcept C121332964 @default.
- W4200600246 hasConcept C126255220 @default.
- W4200600246 hasConcept C127447990 @default.
- W4200600246 hasConcept C134306372 @default.
- W4200600246 hasConcept C144237770 @default.
- W4200600246 hasConcept C14646407 @default.
- W4200600246 hasConcept C162118730 @default.
- W4200600246 hasConcept C162324750 @default.
- W4200600246 hasConcept C166970017 @default.
- W4200600246 hasConcept C170131372 @default.
- W4200600246 hasConcept C175444787 @default.
- W4200600246 hasConcept C181622380 @default.
- W4200600246 hasConcept C199360897 @default.
- W4200600246 hasConcept C205706631 @default.
- W4200600246 hasConcept C2776825372 @default.
- W4200600246 hasConcept C2779664328 @default.
- W4200600246 hasConcept C2780522230 @default.
- W4200600246 hasConcept C2780695682 @default.
- W4200600246 hasConcept C28826006 @default.
- W4200600246 hasConcept C33923547 @default.
- W4200600246 hasConcept C34388435 @default.
- W4200600246 hasConcept C41008148 @default.
- W4200600246 hasConcept C51955184 @default.
- W4200600246 hasConcept C62520636 @default.
- W4200600246 hasConcept C91575142 @default.
- W4200600246 hasConceptScore W4200600246C103144560 @default.
- W4200600246 hasConceptScore W4200600246C121332964 @default.
- W4200600246 hasConceptScore W4200600246C126255220 @default.
- W4200600246 hasConceptScore W4200600246C127447990 @default.
- W4200600246 hasConceptScore W4200600246C134306372 @default.
- W4200600246 hasConceptScore W4200600246C144237770 @default.
- W4200600246 hasConceptScore W4200600246C14646407 @default.
- W4200600246 hasConceptScore W4200600246C162118730 @default.
- W4200600246 hasConceptScore W4200600246C162324750 @default.
- W4200600246 hasConceptScore W4200600246C166970017 @default.
- W4200600246 hasConceptScore W4200600246C170131372 @default.
- W4200600246 hasConceptScore W4200600246C175444787 @default.
- W4200600246 hasConceptScore W4200600246C181622380 @default.
- W4200600246 hasConceptScore W4200600246C199360897 @default.
- W4200600246 hasConceptScore W4200600246C205706631 @default.
- W4200600246 hasConceptScore W4200600246C2776825372 @default.
- W4200600246 hasConceptScore W4200600246C2779664328 @default.
- W4200600246 hasConceptScore W4200600246C2780522230 @default.
- W4200600246 hasConceptScore W4200600246C2780695682 @default.
- W4200600246 hasConceptScore W4200600246C28826006 @default.
- W4200600246 hasConceptScore W4200600246C33923547 @default.
- W4200600246 hasConceptScore W4200600246C34388435 @default.
- W4200600246 hasConceptScore W4200600246C41008148 @default.
- W4200600246 hasConceptScore W4200600246C51955184 @default.
- W4200600246 hasConceptScore W4200600246C62520636 @default.
- W4200600246 hasConceptScore W4200600246C91575142 @default.
- W4200600246 hasLocation W42006002461 @default.
- W4200600246 hasLocation W42006002462 @default.
- W4200600246 hasOpenAccess W4200600246 @default.
- W4200600246 hasPrimaryLocation W42006002461 @default.
- W4200600246 hasRelatedWork W1966256898 @default.
- W4200600246 hasRelatedWork W2337717143 @default.
- W4200600246 hasRelatedWork W2351258383 @default.
- W4200600246 hasRelatedWork W2913733851 @default.
- W4200600246 hasRelatedWork W3012376479 @default.
- W4200600246 hasRelatedWork W3137393630 @default.
- W4200600246 hasRelatedWork W4200600246 @default.
- W4200600246 hasRelatedWork W4221118506 @default.
- W4200600246 hasRelatedWork W4282834746 @default.
- W4200600246 hasRelatedWork W4289780624 @default.
- W4200600246 isParatext "false" @default.
- W4200600246 isRetracted "false" @default.
- W4200600246 workType "article" @default.