N Wang, TK Siu, K Fan - Annals of Operations Research, 2024 - Springer
In this paper, a class of reinsurance contracting problems is examined under a continuous- time principal–agent framework with mean-variance criteria, where a reinsurer and an …
C Zhang, Z Liang - The North American Journal of Economics and Finance, 2022 - Elsevier
This paper considers an optimal reinsurance and investment strategies for an insurer under mean–variance criterion within a game theoretic framework. Specially, it is assumed that the …
G Guan, X Wang - Scandinavian Actuarial Journal, 2020 - Taylor & Francis
This paper investigates time-consistent reinsurance (excess-of-loss, proportional) and investment strategies for an ambiguity averse insurer (abbr. AAI). The AAI is ambiguous …
G Guan, B Li - Journal of Economic Dynamics and Control, 2022 - Elsevier
This paper studies an optimal investment and reinsurance problem under the smooth ambiguity model proposed by Klibanoff et al.(2005). We assume the mean-variance criterion …
T Wang, Z Chen - Insurance: Mathematics and Economics, 2024 - Elsevier
This paper studies the optimal consumption, investment, health insurance and life insurance strategy for a wage earner with smooth ambiguity, habit formation and biometric risks. The …
Y Wang, W Wu, W Huang, W Liu - The North American Journal of …, 2023 - Elsevier
This paper incorporates the ambiguities of the risky asset and the exogenous shock to explore how the two ambiguities influence the hedge funds model. We find the ambiguity of …
G Guan, J Hu, Z Liang - Insurance: Mathematics and Economics, 2022 - Elsevier
This paper investigates the robust non-zero-sum games in an aggregated overfunded defined benefit pension plan. The sponsoring firm is concerned with the investment …
In our study, we investigate reinsurance issues and optimal investment related to derivatives trading for a mean-variance insurer, employing game theory. Our primary objective is to …
G Wang, M Huang, Q Zhou, W Wu… - … and Quantitative Risk, 2023 - aimsciences.org
This study considers an optimal investment and reinsurance problem involving a defaultable security for an insurer in an ambiguous environment. In other words, the insurer is …