Matches in SemOpenAlex for { <https://semopenalex.org/work/W4367675447> ?p ?o ?g. }
Showing items 1 to 69 of
69
with 100 items per page.
- W4367675447 endingPage "101921" @default.
- W4367675447 startingPage "101921" @default.
- W4367675447 abstract "Most literatures about robust optimal reinsurance–investment problem aim to maximum the value function under the worst-case scenario, but some insurers are optimistic, so it is more reasonable to consider a more smooth criterion named α-maxmin criterion which seek a balance between the worst-case scenario and best-case scenario. Furthermore, the past performance of insurance company will heavily impact the reinsurance–investment strategy of insurer, by introducing the capital flow related to the historical performance of the insurer, the wealth process can be described by stochastic delay differential equation. In this paper, we consider the robust optimal reinsurance–investment strategy for an α-maxmin mean–variance insurer with delay under Heston’s stochastic volatility stock model, the verification theorem is given and the closed-form solutions of value function and optimal strategies are obtained, respectively. In the part of numerical analysis, we illustrate the influence of some important parameters on the optimal strategies." @default.
- W4367675447 created "2023-05-03" @default.
- W4367675447 creator A5059265942 @default.
- W4367675447 creator A5077416686 @default.
- W4367675447 creator A5090260926 @default.
- W4367675447 date "2023-07-01" @default.
- W4367675447 modified "2023-09-23" @default.
- W4367675447 title "Robust optimal reinsurance–investment for <mml:math xmlns:mml=http://www.w3.org/1998/Math/MathML altimg=si4.svg display=inline id=d1e181><mml:mi>α</mml:mi></mml:math>-maxmin mean–variance utility under Heston’s SV model" @default.
- W4367675447 cites W1791174547 @default.
- W4367675447 cites W1965532028 @default.
- W4367675447 cites W2003682763 @default.
- W4367675447 cites W2004416084 @default.
- W4367675447 cites W2017211257 @default.
- W4367675447 cites W2034085084 @default.
- W4367675447 cites W2064978316 @default.
- W4367675447 cites W2082109384 @default.
- W4367675447 cites W2131387435 @default.
- W4367675447 cites W2467700965 @default.
- W4367675447 cites W2587186269 @default.
- W4367675447 cites W2604888066 @default.
- W4367675447 cites W3083001444 @default.
- W4367675447 cites W4243114723 @default.
- W4367675447 doi "https://doi.org/10.1016/j.najef.2023.101921" @default.
- W4367675447 hasPublicationYear "2023" @default.
- W4367675447 type Work @default.
- W4367675447 citedByCount "0" @default.
- W4367675447 crossrefType "journal-article" @default.
- W4367675447 hasAuthorship W4367675447A5059265942 @default.
- W4367675447 hasAuthorship W4367675447A5077416686 @default.
- W4367675447 hasAuthorship W4367675447A5090260926 @default.
- W4367675447 hasConcept C126255220 @default.
- W4367675447 hasConcept C14646407 @default.
- W4367675447 hasConcept C149782125 @default.
- W4367675447 hasConcept C162118730 @default.
- W4367675447 hasConcept C162324750 @default.
- W4367675447 hasConcept C166970017 @default.
- W4367675447 hasConcept C33923547 @default.
- W4367675447 hasConcept C41008148 @default.
- W4367675447 hasConcept C85393063 @default.
- W4367675447 hasConcept C91602232 @default.
- W4367675447 hasConceptScore W4367675447C126255220 @default.
- W4367675447 hasConceptScore W4367675447C14646407 @default.
- W4367675447 hasConceptScore W4367675447C149782125 @default.
- W4367675447 hasConceptScore W4367675447C162118730 @default.
- W4367675447 hasConceptScore W4367675447C162324750 @default.
- W4367675447 hasConceptScore W4367675447C166970017 @default.
- W4367675447 hasConceptScore W4367675447C33923547 @default.
- W4367675447 hasConceptScore W4367675447C41008148 @default.
- W4367675447 hasConceptScore W4367675447C85393063 @default.
- W4367675447 hasConceptScore W4367675447C91602232 @default.
- W4367675447 hasLocation W43676754471 @default.
- W4367675447 hasOpenAccess W4367675447 @default.
- W4367675447 hasPrimaryLocation W43676754471 @default.
- W4367675447 hasRelatedWork W1487804950 @default.
- W4367675447 hasRelatedWork W1981584697 @default.
- W4367675447 hasRelatedWork W2039282896 @default.
- W4367675447 hasRelatedWork W2384234495 @default.
- W4367675447 hasRelatedWork W2476516598 @default.
- W4367675447 hasRelatedWork W3123465455 @default.
- W4367675447 hasRelatedWork W3125733047 @default.
- W4367675447 hasRelatedWork W3125784162 @default.
- W4367675447 hasRelatedWork W4311043654 @default.
- W4367675447 hasRelatedWork W4361295864 @default.
- W4367675447 hasVolume "67" @default.
- W4367675447 isParatext "false" @default.
- W4367675447 isRetracted "false" @default.
- W4367675447 workType "article" @default.
