This paper considers a robust optimal reinsurance and investment problem under Heston's
Stochastic Volatility (SV) model for an Ambiguity-Averse Insurer (AAI), who worries about …

This paper proposes a new continuous-time framework to analyze optimal reinsurance, in
which an insurer and a reinsurer are two players of a stochastic Stackelberg differential …

This paper investigates the implications of strategic interaction (ie, competition) between two
CARA insurers on their reinsurance-investment policies. The two insurers are concerned …

We investigate a robust optimal portfolio and reinsurance problem under a Cramér–
Lundberg risk model for an ambiguity-averse insurer (AAI), who worries about uncertainty in …

Purpose While being integrated together conceptually and practically, the literature on game
theory in the context of financial markets lacks a cohesive understanding. This study aims to …

This paper considers a robust portfolio choice problem for a defined contribution pension
plan with stochastic income and stochastic interest rate. The investment objective of the …

This paper considers a robust optimal investment and reinsurance problem under model
ambiguity and default risk for an insurer, who can trade in a saving account, a stock and a …

This paper is concerned with an optimal investment and reinsurance problem with delay for
an insurer under the mean–variance criterion. A three-stage procedure is employed to solve …

Assume that an insurer has two dependent lines of business. The reserves of the two lines of
business are modeled by a two-dimensional compound Poisson risk process or a common …

We consider an optimal reinsurance-investment problem of an insurer whose surplus
process follows a jump-diffusion model. In our model the insurer transfers part of the risk due …