Found 8 Documents (Results 1–8)
Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model. (English) Zbl 1501.91153
Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity. (English) Zbl 1460.91242
Mean-CVaR portfolio selection model with ambiguity in distribution and attitude. (English) Zbl 1476.91152
An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution. (English) Zbl 1388.91139
Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria. (English) Zbl 1401.91208
Dynamic portfolio selection with mispricing and model ambiguity. (English) Zbl 1311.91176
Reviewer: George Stoica (Saint John)
MSC:
91G10
Filter Results by …
all
top 5
Author
- Li, Zhongfei (8)
- Viens, Frederi G. (4)
- Yi, Bo (3)
- Kang, Zhilin (2)
- Sun, Jingyun (2)
- Zeng, Yan (2)
- Chen, Shumin (1)
- Gu, Ailing (1)
- Law, Baron (1)
- Li, Xingyi (1)
- Wang, Pei (1)
- Yao, Haixiang (1)
all
top 5
Serial
- Scand. Actuar. J. (2)
- J. Ind. Manag. Optim. (2)
- Insur. Math. Econ. (1)
- Optimization (1)
- Math. Methods Oper. Res. (1)
- Ann. Finance (1)
Software
- CPLEX (1)